egp.pll

Computes the profile log likelihood over a grid of values of \(\psi\) for various parameters, including return levels.

Various tools for the analysis of univariate, multivariate and functional extremes. Exact simulation from max-stable processes (Dombry, Engelke and Oesting, 2016, <doi:10.1093/biomet/asw008>, R-Pareto processes for various parametric models, including Brown-Resnick (Wadsworth and Tawn, 2014, <doi:10.1093/biomet/ast042>) and Extremal Student (Thibaud and Opitz, 2015, <doi:10.1093/biomet/asv045>). Threshold selection methods, including Wadsworth (2016) <doi:10.1080/00401706.2014.998345>, and Northrop and Coleman (2014) <doi:10.1007/s10687-014-0183-z>. Multivariate extreme diagnostics. Estimation and likelihoods for univariate extremes, e.g., Coles (2001) <doi:10.1007/978-1-4471-3675-0>.

Leo Belzile

Modelling of Extreme Values

Jennifer L. Wadsworth

Paul J. Northrop

Raphael Huser

Scott D. Grimshaw

Jin Zhang

Michael A. Stephens

Art B. Owen

egp.pll function

<dl><dt>psi</dt>
<dd>grid of values for the parameter to profile</dd>
<dt>model</dt>
<dd>string; choice of extended eneralized Pareto model.</dd>
<dt>param</dt>
<dd>string; parameter to profile</dd>
<dt>mle</dt>
<dd>a vector or matrix with maximum likelihood estimates of <code>kappa</code>, <code>scale</code>, <code>shape</code>. This can be a matrix if there are multiple threshold</dd>
<dt>xdat</dt>
<dd>vector of observations</dd>
<dt>thresh</dt>
<dd>vector of positive thresholds. If <code>NULL</code>, defaults to zero.</dd>
<dt>plot</dt>
<dd>logical; if <code>TRUE</code>, returns a plot of the profile log likelihood</dd>
<dt>method</dt>
<dd>string giving the optimization method for the outer optimization in the augmented Lagrangian routine; one of <code>nlminb</code> or <code>BFGS</code></dd>
<dt>p</dt>
<dd>tail probability for return level if <code>param="retlev"</code>.</dd>
<dt>...</dt>
<dd>additional arguments, currently ignored</dd></dl>

Arguments

Profile log likelihood for extended generalized Pareto models — egp.pll

<dl>

<dt>psi</dt>
<dd>grid of values for the parameter to profile</dd>


<dt>model</dt>
<dd>string; choice of extended eneralized Pareto model.</dd>


<dt>param</dt>
<dd>string; parameter to profile</dd>


<dt>mle</dt>
<dd>a vector or matrix with maximum likelihood estimates of <code>kappa</code>, <code>scale</code>, <code>shape</code>. This can be a matrix if there are multiple threshold</dd>


<dt>xdat</dt>
<dd>vector of observations</dd>


<dt>thresh</dt>
<dd>vector of positive thresholds. If <code>NULL</code>, defaults to zero.</dd>


<dt>plot</dt>
<dd>logical; if <code>TRUE</code>, returns a plot of the profile log likelihood</dd>


<dt>method</dt>
<dd>string giving the optimization method for the outer optimization in the augmented Lagrangian routine; one of <code>nlminb</code> or <code>BFGS</code></dd>


<dt>p</dt>
<dd>tail probability for return level if <code>param="retlev"</code>.</dd>


<dt>...</dt>
<dd>additional arguments, currently ignored</dd>

</dl>

egp.pll: Profile log likelihood for extended generalized Pareto models

Description

Usage

Value

Arguments