Maximum likelihood estimation for weighted generalized Pareto distribution
Source:R/Stein.R
fit.wgpd.Rd
Weighted maximum likelihood estimation, with user-specified vector of weights.
Arguments
- xdat
vector of observations
- threshold
numeric, value of the threshold
- weightfun
function whose first argument is the length of the weight vector
- start
optional vector of scale and shape parameters for the optimization routine, defaults to
NULL
- ...
additional arguments passed to the weighting function
weightfun
Value
a list with components
estimate
a vector containing thescale
andshape
parameters (optimized and fixed).std.err
a vector containing the standard errors.vcov
the variance covariance matrix, obtained as the numerical inverse of the observed information matrix.threshold
the threshold.method
the method used to fit the parameter. See details.nllh
the negative log-likelihood evaluated at the parameterestimate
.nat
number of points lying above the threshold.pat
proportion of points lying above the threshold.convergence
logical indicator of convergence.weights
vector of weights for exceedances.exceedances
excess over the threshold, sorted in decreasing order.