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

Description Usage Arguments Value Examples

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

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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

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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.