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

In mev: Modelling of Extreme Values

Negative log likelihood of the generalized Pareto distribution (return levels)

Description

Negative log likelihood of the generalized Pareto distribution (return levels)

Negative log likelihood parametrized in terms of log return level and shape in order to perform unconstrained optimization

Usage

gpdr.ll(par, dat, m)

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

Arguments

par	vector of length 2 containing y_m and \xi, respectively the m-year return level and the shape parameter.
dat	sample vector
m	number of observations of interest for return levels. See Details

See Also

gpdr

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