egp-function: Extended generalised Pareto log likelihood

In lbelzile/mev: Modelling of Extreme Values

Extended generalised Pareto log likelihood

Description

This function provides the log-likelihood and quantiles for the different extended generalized Pareto distributions. All families share the same tail index as the generalized Pareto, and reduce to the latter when kappa=1.

Usage

egp.ll(
  xdat,
  thresh,
  par,
  model = c("pt-beta", "pt-gamma", "pt-power", "gj-tnorm", "gj-beta", "exptilt",
    "logist")
)

egp.retlev(
  xdat,
  thresh,
  par,
  model = c("pt-beta", "pt-gamma", "pt-power", "gj-tnorm", "gj-beta", "exptilt",
    "logist"),
  p,
  plot = TRUE
)

Arguments

xdat	vector of observations, greater than the threshold
thresh	threshold value
par	parameter vector (\kappa, \sigma, \xi).
model	a string indicating which extended family to fit
p	extreme event probability; p must be greater than the rate of exceedance for the calculation to make sense. See Details.
plot	logical; if TRUE, a plot of the return levels

lbelzile/mev documentation built on June 14, 2025, 6:40 p.m.