grimshaw_gp_mle | R Documentation |
Uses the methodology of Grimshaw (1993) to find the MLEs of the parameters of the generalised Pareto distribution, based on a sample of positive values. The function is essentially the same as that made available with Grimshaw (1993), with only minor modifications.
grimshaw_gp_mle(x)
x |
A numeric vector containing only positive values, assumed to be a random sample from a generalized Pareto distribution. |
A numeric vector of length 2. The estimates of the negated
shape parameter k (= -\xi)
and the scale parameter
a (= \sigma)
.
Grimshaw, S. D. (1993) Computing Maximum Likelihood Estimates for the Generalized Pareto Distribution. Technometrics, 35(2), 185-191. and Computing (1991) 1, 129-133. \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1080/00401706.1993.10485040")}.
gp
for details of the parameterisation of the GP
distribution, in terms of \sigma
and \xi
.
u <- quantile(gom, probs = 0.65)
grimshaw_gp_mle((gom - u)[gom > u])
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