Negative log likelihood of the generalized Pareto distribution (return levels)

Negative log likelihood of the generalized Pareto distribution (return levels)

Negative log likelihood parametrized in terms of log return level and shape in order to perform unconstrained optimization

Usage

gpdr.ll(par, dat, m)

gpdr.ll.optim(par, dat, m)

Arguments

par

vector of length 2 containing \(y_m\) and \(\xi\), respectively the \(m\)-year return level and the shape parameter.

dat

sample vector

m

number of observations of interest for return levels. See Details

See also

gpdr