FitGev {CompRandFld}R Documentation

Max-likelihood Fitting of the GEV Distribution

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, simone.padoan@unibocconi.it, http://faculty.unibocconi.it/simonepadoan; Moreno Bevilacqua, moreno.bevilacqua@uv.cl, 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


[Package CompRandFld version 1.0.3-6 Index]