gpdN.ll

Negative log likelihood of the generalized Pareto distribution (mean of maximum of N exceedances parametrization)

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

gpdN.ll function

<dl><dt>par</dt>
<dd>vector of length 2 containing \(z\) and \(\xi\), respectively the mean excess of the maxima of N exceedances above the threshold and the shape parameter.</dd>
<dt>dat</dt>
<dd>sample vector</dd>
<dt>N</dt>
<dd>block size for threshold exceedances.</dd></dl>

Arguments

Negative log likelihood of the generalized Pareto distribution (mean of maximum of N exceedances parametrization) — gpdN.ll

<dl>

<dt>par</dt>
<dd>vector of length 2 containing \(z\) and \(\xi\), respectively the mean excess of the maxima of N exceedances above the threshold and the shape parameter.</dd>


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


<dt>N</dt>
<dd>block size for threshold exceedances.</dd>

</dl>

gpdN.ll: Negative log likelihood of the generalized Pareto distribution (mean of maximum of N exceedances parametrization)

Description

Usage

Arguments

See Also