hpareto.negloglike: Hybrid Pareto Maximum Likelihood Estimation
Description
Negative log-likelihood and gradient (hpareto.negloglike) and MLE of a hybrid Pareto
distribution parameters (hpareto.fit). hpareto.fit applies
the optimizer nlm to minimize the negative log-likelihood based on
some starting values for the hybrid Pareto parameters.
vector of length 3 of hybrid Pareto parameters c(xi, mu, sigma)
x
a vector of length n of observations assumed to be sampled from a hybrid Pareto distribution
…
optional arguments for nlm called by hpareto.fit
Value
hpareto.negloglike returns a single value (the negative log-likelihood for
given parameters and sample) and a vector, the gradient, which is passed as an attribute,
while hpareto.fit returns a vector of three parameters, the MLE
of the parameters of the hybrid Pareto distribution
References
Carreau, J. and Bengio, Y. (2009), A Hybrid Pareto Model for
Asymmetric Fat-tailed Data: the Univariate Case, 12, Extremes