Generalized extreme value distribution (quantile/mean of N-block maxima parametrization)
Source:R/univdist.R
gevN.Rd
Likelihood, score function and information matrix, approximate ancillary statistics and sample space derivative for the generalized extreme value distribution parametrized in terms of the quantiles/mean of N-block maxima parametrization \(z\), scale and shape.
Usage
gevN.ll(par, dat, N, q, qty = c('mean', 'quantile'))
gevN.ll.optim(par, dat, N, q = 0.5, qty = c('mean', 'quantile'))
gevN.score(par, dat, N, q = 0.5, qty = c('mean', 'quantile'))
gevN.infomat(par, dat, qty = c('mean', 'quantile'), method = c('obs', 'exp'), N, q = 0.5, nobs = length(dat))
gevN.Vfun(par, dat, N, q = 0.5, qty = c('mean', 'quantile'))
gevN.phi(par, dat, N, q = 0.5, qty = c('mean', 'quantile'), V)
gevN.dphi(par, dat, N, q = 0.5, qty = c('mean', 'quantile'), V)
Functions
gevN.ll
: log likelihoodgevN.score
: score vectorgevN.infomat
: expected and observed information matrixgevN.Vfun
: vector implementing conditioning on approximate ancillary statistics for the TEMgevN.phi
: canonical parameter in the local exponential family approximationgevN.dphi
: derivative matrix of the canonical parameter in the local exponential family approximation