fgpa: Estimation of the Generalized pareto distribution.

In martindurocher/floodStat: FloodNet Regional Frequency Analysis

Description

Low level functions for the estimation of the generalized pareto distribution(GPA) with two parameters. Can use either maximum likelihoood or the method of L-moments. The algorithm of fgpa2d is using optim to directly optimize the log-likelihood (bivariate), while the algorithm of fgpa1d is using a transformation to use a univariate optimization routine. Moreover, fgpa2d constraint the shape parameter between -.5 and 1.

Usage

fgpa1d(x, sol = FALSE)

fgpa2d(x, sol = FALSE, par0 = NULL, ...)

fgpaLmom(x)

Arguments

x	Sample.
sol	Does solution from optim be returned. In case of fgpa1d, it returns the variance covariance matrix.
par0	Initial parameter.
...	aditional arguments 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(1000, 1, -.2)
fgpa1d(x)
fgpa2d(x)
fgpaLmom(x)

martindurocher/floodStat documentation built on May 31, 2019, 12:42 a.m.