GPDqML: The qML Method for the Generalised Pareto Distribution (GPD).

In mtloots/alR: Arc Lengths of Statistical Functions

Description

Estimation of the parameters of the generalised Pareto distribution (GPD) with location parameter mu, scale parameter sigma, and shape parameter alpha. using the quasi-maximum-likelihood method.

Usage

GPDMLE(x)

GPDqML(x)

GPDMSE(x)

Arguments

x	A vector of data points.

Value

GPDMLE: A named vector containing the maximum likelihood estimates for the GPD fitted to the data x.

GPDqML: A named vector containing the estimated parameters for the GPD fitted to the data x, using quasi-maximum likelihood.

GPDMSE: A named vector containing the estimated parameters for the GPD fitted to the data x, using maximum spacings estimation (MSE).

Examples

x <- rGPD(100, 0, 1, 2)
GPDMLE(x)
GPDqML(x)
## Not run: 
GPDMSE(x)

## End(Not run)

mtloots/alR documentation built on May 23, 2019, 8:18 a.m.