pp.ll

This function returns the log-likelihood of the non-homogeneous Poisson process
of exceedances above threshold <code>u</code>, adjusted so that there are <code>np</code> periods
of observations.

internal

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

pp.ll function

<dl><dt>par</dt>
<dd>vector of <code>loc</code>, <code>scale</code> and <code>shape</code></dd>
<dt>dat</dt>
<dd>sample vector</dd>
<dt>u</dt>
<dd>threshold</dd>
<dt>np</dt>
<dd>number of periods of observations. This is a post hoc adjustment for the intensity so that the parameters of the model coincide with those of a generalized extreme value distribution with block size <code>length(dat)/np</code>.</dd></dl>

Arguments

Log-likelihood of Poisson process of threshold exceedances — pp.ll

<dl>

<dt>par</dt>
<dd>vector of <code>loc</code>, <code>scale</code> and <code>shape</code></dd>


<dt>dat</dt>
<dd>sample vector</dd>


<dt>u</dt>
<dd>threshold</dd>


<dt>np</dt>
<dd>number of periods of observations. This is a post hoc adjustment for the intensity so that the parameters of the model coincide with those of a generalized extreme value distribution with block size <code>length(dat)/np</code>.</dd>

</dl>

pp.ll: Log-likelihood of Poisson process of threshold exceedances

Description

Usage

Value

Arguments

See Also