.Joint_MLE_Expl

Calculates the MLEs of the rate parameter, and joint asymptotic covariance matrix of these MLEs
over a range of thresholds as supplied by the user.

internal

Various tools for the analysis of univariate, multivariate and functional extremes. Exact simulation from max-stable processes [Dombry, Engelke and Oesting (2016) <doi:10.1093/biomet/asw008>, R-Pareto processes for various parametric models, including Brown-Resnick (Wadsworth and Tawn, 2014, <doi:10.1093/biomet/ast042>) and Extremal Student (Thibaud and Opitz, 2015, <doi:10.1093/biomet/asv045>). Threshold selection methods, including Wadsworth (2016) <doi:10.1080/00401706.2014.998345>, and Northrop and Coleman (2014) <doi:10.1007/s10687-014-0183-z>. Multivariate extreme diagnostics. Estimation and likelihoods for univariate extremes, e.g., Coles (2001) <doi:10.1007/978-1-4471-3675-0>.

Leo Belzile

Modelling of Extreme Values

Jennifer L. Wadsworth

Paul J. Northrop

Scott D. Grimshaw

Jin Zhang

Michael A. Stephens

Art B. Owen

Raphael Huser

.Joint_MLE_Expl function

<dl><dt>x</dt>
<dd>vector of data</dd>
<dt>u</dt>
<dd>vector of thresholds. If not supplied, then <code>k</code>
thresholds between quantiles (<code>q1</code>, <code>q2</code>) will be used</dd>
<dt>k</dt>
<dd>number of thresholds to consider if u not supplied</dd>
<dt>q1</dt>
<dd>lower quantile to consider for threshold</dd>
<dt>q2</dt>
<dd>upper quantile to consider for threshold</dd>
<dt>param</dt>
<dd>character specifying <code>'InvRate'</code> or <code>'Rate'</code>
for either inverse rate parameter / rate parameter, respectively</dd></dl>

Arguments

Author

Joint maximum likelihood estimation for exponential model — .Joint_MLE_Expl

<dl>

<dt>x</dt>
<dd>vector of data</dd>


<dt>u</dt>
<dd>vector of thresholds. If not supplied, then <code>k</code>
thresholds between quantiles (<code>q1</code>, <code>q2</code>) will be used</dd>


<dt>k</dt>
<dd>number of thresholds to consider if u not supplied</dd>


<dt>q1</dt>
<dd>lower quantile to consider for threshold</dd>


<dt>q2</dt>
<dd>upper quantile to consider for threshold</dd>


<dt>param</dt>
<dd>character specifying <code>'InvRate'</code> or <code>'Rate'</code>
for either inverse rate parameter / rate parameter, respectively</dd>

</dl>

Joint maximum likelihood estimation for exponential model

.Joint_MLE_Expl: Joint maximum likelihood estimation for exponential model

Description

Usage

Value

Arguments

Author