MomEst {CompRandFld}R Documentation

Estimation of the GEV parameters by the Method of Moments

Description

Using the moment estimator, the function returns the parameter estimates of the generalized extreme value distribution for a given dataset of extreme values.

Usage

MomEst(data, n)

Arguments

data

A vector of extreme values.

n

The number of observations.

Value

The returned object is a list with:

location

The location estimate.

scale

The scale estimate.

shape

The shape estimate.

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.

See Also

GevLogLik, FitGev


[Package CompRandFld version 1.0.3-6 Index]