stein_gp_lik

Stein's weighted generalized Pareto likelihood

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

stein_gp_lik function

<dl><dt>pars</dt>
<dd>vector of length with scale and shape parameters</dd>
<dt>xdat</dt>
<dd>vector of exceedances in decreasing order if <code>sort=FALSE</code></dd>
<dt>weights</dt>
<dd>vector of weights</dd>
<dt>...</dt>
<dd>additional arguments, currently ignored</dd></dl>

Arguments

Stein's weighted generalized Pareto likelihood — stein_gp_lik

<dl>

<dt>pars</dt>
<dd>vector of length with scale and shape parameters</dd>


<dt>xdat</dt>
<dd>vector of exceedances in decreasing order if <code>sort=FALSE</code></dd>


<dt>weights</dt>
<dd>vector of weights</dd>


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

</dl>

stein_gp_lik: Stein's weighted generalized Pareto likelihood

Description

Usage

Arguments

References