Log likelihood for the generalized Pareto distribution

Function returning the density of an n sample from the GP distribution. gpd.ll.optim returns the negative log likelihood parametrized in terms of log(scale) and shape in order to perform unconstrained optimization. The function is coded in such a way that the log likelihood is infinite when \(\xi < -1\).

Usage

gpd.ll(par, dat, tol = 1e-05)

gpd.ll.optim(par, dat, tol = 1e-05)

Arguments

par

vector of scale and shape

dat

sample vector

tol

numerical tolerance for the exponential model

See also

gpd