dot-Joint_MLE_Expl: Joint maximum likelihood estimation for exponential model

In mev: Modelling of Extreme Values

Joint maximum likelihood estimation for exponential model

Description

Calculates the MLEs of the rate parameter, and joint asymptotic covariance matrix of these MLEs over a range of thresholds as supplied by the user.

Usage

.Joint_MLE_Expl(x, u = NULL, k, q1, q2 = 1, param)

Arguments

x	vector of data
u	vector of thresholds. If not supplied, then k thresholds between quantiles (q1, q2) will be used
k	number of thresholds to consider if u not supplied
q1	lower quantile to consider for threshold
q2	upper quantile to consider for threshold
param	character specifying 'InvRate' or 'Rate' for either inverse rate parameter / rate parameter, respectively

Value

a list with

• mle vector of MLEs above the supplied thresholds

• cov joint asymptotic covariance matrix of these MLEs

Author(s)

Jennifer L. Wadsworth

mev documentation built on April 20, 2023, 5:10 p.m.