ev.trawl (version 0.1.0)

GPDFit: Generalised Pareto likelihood maximisation using L-BFGS-B optimisation routine.

Description

Generalised Pareto likelihood maximisation using L-BFGS-B optimisation routine.

Usage

GPDFit(values, initial_guess, lower = c(0.1, 0.1), upper = c(20, 20))

Arguments

values

Exceedance values.

initial_guess

(at least 2-d) Vector for GPD parameters starting values.

lower

Vector of lower bounds limits for optimisation procedure. Default c(0.1, 0.1).

upper

Vector of upper bounds limits for optimisation procedure. Default c(20, 20).

Value

Parameters of Log-likelihood maximisation of GPD distribued variables (i.e. non-zero exceedances).

Examples

# NOT RUN {
GPDFit(c(2.0, 0.3, 6.15, 0, 0.31), c(2.1, 1.17, 0.52, 4.17))

# }