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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

Usage

fit_GPD_unconditional(Y, interm_lvl = NULL, thresh_quantiles = NULL)

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.