Description Usage Arguments Details Value Examples
mle.gpd
estimates parameters for Generalized Pareto Distribution with right-censored data using Maximum Likelihood
1 |
time |
Time to failure or termination |
censor |
Observation/censor indicator (1=observed, 0=right-censored), default to be all observations |
Generalized Pareto distribution: CDF F(x,k,a) = 1 - (1-kx/a)^(1/k) if k!=0 or 1 - e^(-x/a) if k=0
Algorithm was described in: Pham, M. H., Tsokos, C. P., Choi, B. (2018). Maximum Likelihood Estimation for the Generalized Pareto Distribution and Goodness-Of-Fit Test with Censored Data. Journal of Modern Applied Statistical Methods, 17(2).
returns a vector of size 2. The first element is the estimate of k, the second is the estimate of alpha
1 2 3 |
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