stein_gp_lik: Stein's weighted generalized Pareto likelihood

In lbelzile/mev: Modelling of Extreme Values

Stein's weighted generalized Pareto likelihood

Description

Stein's weighted generalized Pareto likelihood

Usage

stein_gp_lik(pars, xdat, weights = rep(1, length(xdat)), ...)

Arguments

pars	vector of length with scale and shape parameters
xdat	vector of exceedances in decreasing order if sort=FALSE
weights	vector of weights
...	additional arguments, currently ignored

References

Stein, M.L. (2023). A weighted composite log-likelihood approach to parametric estimation of the extreme quantiles of a distribution. Extremes 26, 469-507 <doi:10.1007/s10687-023-00466-w>

lbelzile/mev documentation built on Oct. 28, 2024, 5:15 a.m.