FitGev: Max-likelihood Fitting of the GEV Distribution

In CompRandFld: Composite-Likelihood Based Analysis of Random Fields

Description

the function returns the parameters' estimates and the variances of the estimates (if required) of the generalized extreme value distribution for a given dataset of extreme values.

Usage

FitGev(data, method='Nelder-Mead', start, varest=FALSE)

Arguments

data	A vector of extreme values.
method	The optimization method (see optim for details). 'Nelder-Mead' is the default.
start	A named list with the initial values for the parameters over which the likelihood is to be maximized.
varest	Logical; if TRUE the estimate' variances and the standard errors are returned, instead if FALSE (the default) only the estimate are computed.

Details

If start is omitted the routine is computing the starting values using moment estimators.

Value

The returned object is a list with:

param	The vector of parameters' estimates.
varcov	The matrix of the variance-covariance of the estimates.
stderr	The vector of the standard errors.

Author(s)

Simone Padoan, [e-mail], http://faculty.unibocconi.it/simonepadoan; Moreno Bevilacqua, [e-mail], https://sites.google.com/a/uv.cl/moreno-bevilacqua/home.

References

de Haan, L. and Ferreira, A. (2006) Extreme Value Theory An Introduction. Springer Verlang, New York.

Smith, R. L. (1985) Maximum likelihood estimation in a class of non-regular cases. Biometrika, 72, 67–90.

See Also

GevLogLik, optim

CompRandFld documentation built on Jan. 8, 2020, 3:01 p.m.