gev_LTMLE: MLE of the left truncated GEV distribution

In ckatom/ltmps: MPS estimation for left-truncated heavy-tailed data

Description

Apply MLE to the left-truncated GEV distribution.

Usage

gev_LTMLE(data, init_value, u)

Arguments

data	Empirical data that is left-truncated.
init_value	The initial value of left-truncated Generalised Extreme Value(GEV) distributions parameter xi and sigma.
u	The left-truncated point.

Value

a list contains the estimation result of shape and scale parameters, standard error and covariance matrix of estimated parameters.

Examples

data0=rgev(30000,xi=0.5,mu=4,sigma=2)
data = data0[data0>5]
fit = gev_LTMLE(data = data,init_value = c(0.6,2.2),u=5)
fit$par.ests

ckatom/ltmps documentation built on Jan. 8, 2022, 1:38 p.m.