gevr.ll

gevr.ll.optim

Negative log likelihood of the generalized extreme value distribution (return levels)
Negative log likelihood parametrized in terms of location, log return level and shape in order to perform unconstrained optimization

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

gevr.ll function

<dl><dt>par</dt>
<dd>vector of <code>retlev</code>, <code>scale</code> and <code>shape</code></dd>
<dt>dat</dt>
<dd>sample vector</dd>
<dt>p</dt>
<dd>tail probability, corresponding to \((1-p)\)th quantile for \(z\)</dd></dl>

Arguments

Negative log likelihood of the generalized extreme value distribution (return levels) — gevr.ll

<dl>

<dt>par</dt>
<dd>vector of <code>retlev</code>, <code>scale</code> and <code>shape</code></dd>


<dt>dat</dt>
<dd>sample vector</dd>


<dt>p</dt>
<dd>tail probability, corresponding to \((1-p)\)th quantile for \(z\)</dd>

</dl>

Negative log likelihood of the generalized extreme value distribution (return levels)

gevr.ll: Negative log likelihood of the generalized extreme value distribution (return levels)

Description

Usage

Arguments

See Also