Maximum likelihood estimates for the GPD distribution using peaks over threshold
Source:R/EVT_utils.R
fit_GPD_unconditional.Rd
Maximum likelihood estimates for the GPD distribution using peaks over threshold
Arguments
- Y
Vector of observations
- interm_lvl
Probability level at which the empirical quantile should be used as the threshold, if
thresh_quantiles
is not given.- thresh_quantiles
Numerical value or numerical vector of the same length as
Y
representing either a fixed or a varying threshold, respectively.
Value
Named list containing:
scalethe GPD scale MLE,
shapethe GPD shape MLE,
fitthe fitted
ismev::gpd.fit()
object.