gpd.ll: Log likelihood for the generalized Pareto distribution

In mev: Modelling of Extreme Values

Log likelihood for the generalized Pareto distribution

Description

Function returning the density of an n sample from the GP distribution. gpd.ll.optim returns the negative log likelihood parametrized in terms of log(scale) and shape in order to perform unconstrained optimization. The function is coded in such a way that the log likelihood is infinite when \xi < -1.

Usage

gpd.ll(par, dat, tol = 1e-05)

gpd.ll.optim(par, dat, tol = 1e-05)

Arguments

par	vector of scale and shape
dat	sample vector
tol	numerical tolerance for the exponential model

See Also

gpd

mev documentation built on Sept. 11, 2024, 8:14 p.m.