mgpd-package: mgpd: Functions for multivariate generalized Pareto...

Description Details Author(s) References Examples

Description

Extends distribution and density functions to parametric multivariate generalized Pareto distributions (MGPD of Type II), and provides fitting functions which calculate maximum likelihood estimates for bivariate and trivariate models.

Details

Package: mgpd
Type: Package
Version: 2.0
Date: 2012-03-07
License: GPL-3

~~ An overview of how to use the package, including the most important ~~ ~~ functions ~~

Author(s)

Pal Rakonczai Maintainer: Pal Rakonczai <rakonczai.p [at] gmail.com>

References

Rakonczai and Zempleni (2010)

Examples

1
2
3
4
x=y=seq(-2,6,0.05)
z1=outer(x,y,pbgpd,model="log")
z2=outer(x,y,pbgpd,model="neglog")
image(z1-z2)

Example output

Loading required package: evd
Loading required package: numDeriv
Loading required package: corpcor
Loading required package: fields
Loading required package: spam
Loading required package: dotCall64
Loading required package: grid
Spam version 2.1-1 (2017-07-02) is loaded.
Type 'help( Spam)' or 'demo( spam)' for a short introduction 
and overview of this package.
Help for individual functions is also obtained by adding the
suffix '.spam' to the function name, e.g. 'help( chol.spam)'.

Attaching package: 'spam'

The following objects are masked from 'package:base':

    backsolve, forwardsolve

Loading required package: maps

mgpd documentation built on May 30, 2017, 12:45 a.m.