Maximum likelihood estimates for the GPD distribution using peaks over threshold

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:

scale

the GPD scale MLE,

shape

the GPD shape MLE,

fit

the fitted ismev::gpd.fit() object.