logLikVec.pot: logLikVec - Adjusted loglikelihood vector for GPD...

In RuoqingYin/oolax: Object-orientated Loglikelihood Adjustment for Extreme Value Models

Description

It provides a vector of the contributions to the independence loglikelihood from individual observations for Peaks Over Threshold modelling. Used by alogLik.evd()

Usage

## S3 method for class 'pot'
logLikVec(object, pars = NULL, ...)

Arguments

object	Object of class "pot". It must come from fpot.
pars	parameters for the fitted object. Since the object is of class "pot", it is not necessary to input the parameters.
...	Additional optional arguments. At present no optional arguments are used.

Details

The fitted object must have S3 methods: logLikVec, coef, and nobs. It may have method vcov and estfun. If a vcov method is not available then the variance-covariance matrix of the model parameters is estimated inside adjust_loglik. If an estfun method is not available then the score matrix is estimated using jacobian. More in See Also.

Value

An object of class c("oolax", "chandwich") with the same structure as an object returned from adjust_loglik.

See Also

adjust_loglik Loglikelihood adjustment using the sandwich estimator.

logLikVec.gev Loglikelihood vector for GEV Distribution fitted by fgev

logLikVec.pot Loglikelihood vector for GPD Distribution fitted by fpot

logLikVec.ismev_gev Loglikelihood vector for GEV Distribution fitted by gev.fit

logLikVec.ismev_gpd Loglikelihood vector for GPD Distribution fitted by gpd.fit

Examples

library(evd)
uvdata <- rgpd(100, loc = 0, scale = 1.1, shape = 0.2)
M1 <- fpot(uvdata, 1)
logLik(M1)
logLikVec(M1)

RuoqingYin/oolax documentation built on May 28, 2019, 12:20 p.m.