gpd {evir} | R Documentation |
Returns an object of class "gpd"
representing the fit of
a generalized Pareto model to excesses over a high threshold.
gpd(data, threshold = NA, nextremes = NA, method = c("ml", "pwm"),
information = c("observed", "expected"), ...)
data |
data vector |
threshold |
a threshold value (either this or
|
nextremes |
the number of upper extremes to be used (either
this or |
method |
whether parameters should be estimated by the maximum
likelihood method |
information |
whether standard errors should be calculated with
|
... |
arguments passed to |
The function uses the general purpose optimization function
optim
when method = "ml"
is chosen.
An object of class "gpd"
describing the fit and including
parameter estimates and standard errors.
Parameter and quantile estimation for the generalized Pareto distribution, JRM Hosking and JR Wallis, Technometrics 29(3), pages 339-349, 1987.
data(danish)
out <- gpd(danish, 10)
# Fits GPD to excess losses over 10 for the Danish
# fire insurance data