gp.fit

The function <code>fit.gpd</code> is a wrapper around <code>gp.fit</code>

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

gp.fit function

<dl><dt>xdat</dt>
<dd>a numeric vector of data to be fitted.</dd>
<dt>threshold</dt>
<dd>the chosen threshold.</dd>
<dt>method</dt>
<dd>the method to be used. See Details. Can be abbreviated.</dd>
<dt>show</dt>
<dd>logical; if <code>TRUE</code> (the default), print details of the fit.</dd>
<dt>MCMC</dt>
<dd><code>NULL</code> for frequentist estimates, otherwise a boolean or a list with parameters passed. If <code>TRUE</code>, runs a Metropolis-Hastings sampler to get posterior mean estimates. Can be used to pass arguments <code>niter</code>, <code>burnin</code> and <code>thin</code> to the sampler as a list.</dd>
<dt>fpar</dt>
<dd>a named list with fixed parameters, either <code>scale</code> or <code>shape</code></dd>
<dt>warnSE</dt>
<dd>logical; if <code>TRUE</code>, a warning is printed if the standard errors cannot be returned from the observed information matrix when the shape is less than -0.5.</dd></dl>

Arguments

Maximum likelihood estimate of generalized Pareto applied to threshold exceedances — gp.fit

<dl>

<dt>xdat</dt>
<dd>a numeric vector of data to be fitted.</dd>


<dt>threshold</dt>
<dd>the chosen threshold.</dd>


<dt>method</dt>
<dd>the method to be used. See Details. Can be abbreviated.</dd>


<dt>show</dt>
<dd>logical; if <code>TRUE</code> (the default), print details of the fit.</dd>


<dt>MCMC</dt>
<dd><code>NULL</code> for frequentist estimates, otherwise a boolean or a list with parameters passed. If <code>TRUE</code>, runs a Metropolis-Hastings sampler to get posterior mean estimates. Can be used to pass arguments <code>niter</code>, <code>burnin</code> and <code>thin</code> to the sampler as a list.</dd>


<dt>fpar</dt>
<dd>a named list with fixed parameters, either <code>scale</code> or <code>shape</code></dd>


<dt>warnSE</dt>
<dd>logical; if <code>TRUE</code>, a warning is printed if the standard errors cannot be returned from the observed information matrix when the shape is less than -0.5.</dd>

</dl>

gp.fit: Maximum likelihood estimate of generalized Pareto applied to threshold exceedances

Description

Usage

Arguments