Unconditional GPD MLEs and their train-validation likelihoods
Usage
unconditional_train_valid_GPD_loss(Y_train, interm_lvl, Y_valid)
Arguments
- Y_train
Vector of "training" observations on which to estimate the MLEs.
- interm_lvl
Probability level at which the empirical quantile should be used as the threshold.
- Y_valid
Vector of "validation" observations, on which to estimate the out of training sample GPD loss.
Value
Named list containing:
scaleGPD scale MLE inferred from the train set,
shapeGPD shape MLE inferred from the train set,
train_lossthe negative log-likelihoods of the MLEs over the training samples,
valid_lossthe negative log-likelihoods of the MLEs over the validation samples.