The function gev.tem
provides a tangent exponential model (TEM) approximation
for higher order likelihood inference for a scalar parameter for the generalized extreme value distribution.
Options include location scale and shape parameters as well as value-at-risk (or return levels).
The function attempts to find good values for psi
that will
cover the range of options, but the fail may fit and return an error.
1 2 |
param |
parameter over which to profile |
dat |
sample vector for the GEV distribution |
psi |
scalar or ordered vector of values for the interest parameter. If |
p |
probability associated with the (1-p)th quantile for return levels if |
n.psi |
number of values of |
plot |
logical indiating whether |
an object of class fr
(see tem
) with elements
normal
: maximum likelihood estimate and standard error of the interest parameter psi
par.hat
: maximum likelihood estimates
par.hat.se
: standard errors of maximum likelihood estimates
th.rest
: estimated maximum profile likelihood at (psi,\hat{λ})
r
: values of likelihood root corresponding to ψ
psi
: vector of interest parameter
q
: vector of likelihood modifications
rstar
: modified likelihood root vector
param
: parameter
Leo Belzile, from code by A. Davison from the hoa
package
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