lognGPD (version 0.1.0)

weiGpdLik: Weighted GPD log-likelihood

Description

This function evaluates the zero-mean generalized Pareto log-likelihood function computed with weighted observations.

Usage

weiGpdLik(x, y, post)

Value

llik real: numerical value of the log-likelihood function

Arguments

x

numerical vector (2x1): values of the parameters \(\xi\) and \(\beta\).

y

numerical vector (nx1): observed data.

post

numerical vector (nx1) with elements in (0,1): weights of the observations (in the EM algorithm, posterior probabilities).

Examples

y <- rlognGPD(100,.9,0,1,0.5,2)
x0 <- c(.7,.2,1.3,.8,1.7)
res <- EMlogngpdmix(x0, y, 1000)
llik <- weiGpdLik(c(res$beta,res$xi),y,res$post)