fpot1d: Estimation of the GPA distribution by maximum likelihood.

In martindurocher/floodRFA: A R-package for regional frequency of floods

Description

Low level functions for the estimation of the generalized pareto distribution(GPA) with two parameters base either on maximum likelihoood or the method of L-moments. The algorithm of fpot2d is using optim to directly optimize the log-likelihood (bivariate), while the algorithm of fpot1d is using a transformation to use a univariate optimization routine. Moreover, fpot2d constraint the shape parameter between -.5 and 1.

Usage

fpot1d(x, sol = FALSE)

fpot2d(x, sol = FALSE, par0 = NULL, ...)

fpotLmom(x)

Arguments

x	Sample.
sol	Does solution from optim be returned. In case of fpot1d, it returns the variance covariance matrix.
par0	Initial estimation.
...	aditional param to pass to optim

Reference

Davison AC, Smith RL. (1990) Models for Exceedances over High Thresholds. Journal of the Royal Statistical Society Series B (Methodological). 52(3):393–442.

Hosking JRM (1990). L-Moments: Analysis and Estimation of Distributions Using Linear Combinations of Order Statistics. Journal of the Royal Statistical Society Series B (Methodological). 52(1):105–24.

Examples

x <- rgpa(10000, 1, -.2)
fpot1d(x)
fpot2d(x)
fpotLmom(x)

martindurocher/floodRFA documentation built on June 5, 2019, 8:44 p.m.