gpde.ll: Negative log likelihood of the generalized Pareto...

In mev: Modelling of Extreme Values

Negative log likelihood of the generalized Pareto distribution (expected shortfall)

Description

Negative log likelihood of the generalized Pareto distribution (expected shortfall)

Negative log likelihood of the generalized Pareto distribution (expected shortfall) - optimization The negative log likelihood is parametrized in terms of log expected shortfall and shape in order to perform unconstrained optimization

Usage

gpde.ll(par, dat, m)

gpde.ll.optim(par, dat, m)

Arguments

par	vector of length 2 containing e_m and \xi, respectively the expected shortfall at probability 1/(1-\alpha) and the shape parameter.
dat	sample vector
m	number of observations of interest for return levels. See Details

See Also

gpde

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