mev (version 1.11)

gev.mle: Generalized extreme value maximum likelihood estimates for various quantities of interest

Description

#' This function calls the fgev routine on the sample of excesses and returns maximum likelihood estimates for all quantities of interest, including scale and shape parameters, quantiles and value-at-risk, expected shortfall and mean and quantiles of maxima of N threshold exceedances

Usage

gev.mle(dat, args = c("loc", "scale", "shape", "quant", "Nmean", "Nquant"), N,
  p, q)

Arguments

dat

sample vector of excesses

args

vector of strings indicating which arguments to return the maximum likelihood values for.

N

size of block over which to take maxima. Required only for args Nmean and Nquant.

p

tail probability. Required only for arg quant.

q

level of quantile for maxima of N exceedances. Required only for args Nquant.

Value

named vector with maximum likelihood estimated parameter values for arguments args

Examples

# NOT RUN {
dat <- evd::rgev(n = 100, shape = 0.2)
gev.mle(dat = dat, N = 100, p = 0.01, q = 0.5)
# }