gpdProfShape {eva}

GPD Shape Parameter Profile Likelihood Estimation for Stationary Models

Description

Computes the profile likelihood based confidence interval for the shape parameter of the stationary Generalized Pareto model.

Usage

gpdProfShape(z, conf = 0.95, plot = TRUE)

Arguments

z

A class object returned from gpdFit.

conf

Confidence level to use. Defaults to 95 percent.

plot

Plot the profile likelihood and estimate (vertical line)?

Value

Estimate

Estimated shape parameter.

CI

Profile likelihood based confidence interval for the shape parameter.

ConfLevel

The confidence level used.

Examples

x <- rgpd(200, loc = 0, scale = 1, shape = 0.25)
z <- gpdFit(x, threshold = 0)
gpdProfShape(z)