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.
FitGev(data, method='Nelder-Mead', start, varest=FALSE)
A vector of extreme values.
The optimization method (see optim
for
details). 'Nelder-Mead' is the default.
A named list with the initial values for the parameters over which the likelihood is to be maximized.
Logical; if TRUE
the estimate' variances and
the standard errors are returned, instead if FALSE
(the
default) only the estimate are computed.
The returned object is a list with:
The vector of parameters' estimates.
The matrix of the variance-covariance of the estimates.
The vector of the standard errors.
If start
is omitted the routine is computing the
starting values using moment estimators.
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.