lmomco (version 0.88)

pargpa: Estimate the Parameters of the Generalized Pareto Distribution

Description

This function estimates the parameters of the Generalized Pareto distribution given the L-moments of the data in an ordinary L-moment object (lmom.ub or a trimmed L-moment object (TLmoms for t=1. The relation between distribution parameters and L-moments is seen under lmomgpa or lmomgpa2.

Usage

pargpa(lmom,zeta=1,checklmom=TRUE)

Arguments

lmom

A L-moment object created by lmom.ub, pwm2lmom, or TLmoms with trim=0.

zeta

The right censoring fraction. If less than unity then a dispatch to the pargpaRC is made and the lmom argument must contain the B-type L-moments. If the data is not right, then this value must

checklmom

Should the lmom be checked for validity using the are.lmom.valid function. Normally this should be left as the default and it is very unlikely that the L-moments will not be viable (particularly in the $\tau_4$ and $\tau_3$ inequ

Value

• An R list is returned.
• type
  The type of distribution: gpa.
• para
  The parameters of the distribution.
• source
  The source of the parameters: pargpa.

References

Hosking, J.R.M., 1990, L-moments---Analysis and estimation of distributions using linear combinations of order statistics: Journal of the Royal Statistical Society, Series B, vol. 52, p. 105--124.

Hosking, J.R.M., 1996, FORTRAN routines for use with the method of L-moments: Version 3, IBM Research Report RC20525, T.J. Watson Research Center, Yorktown Heights, New York.

Hosking, J.R.M. and Wallis, J.R., 1997, Regional frequency analysis---An approach based on L-moments: Cambridge University Press.

See Also

lmom.ub, lmomgpa, cdfgpa, quagpa

Examples

lmr <- lmom.ub(rnorm(20))
pargpa(lmr)