R help - Dec 2008 - Parameter Estimation - Generalized Extreme Value Distribution

Dear R helpers,

How do you estimate the (Location, Scale, Shape) parameters of Generalized
Extreme Value distribution using R?

I have tried VGAM but just not able to write the R script.

Please advise.

With regards

Maithili

Dear R help,


I have an xls file with the name ONS.csv having 25 obseravations as given below.

This is my data. (i.e. the first column of file ONS.csv)

(5.55,4.56,17.82,5.03,5.3,40.28,8.05,27.8,5.85,5.42,14.75,46.13,18.5,4.58,
4.31,9.19,6.61,15.92,96.94,21.63,4.44,4.88,241.74,38592.1,5.24)


I am trying to fit the Generalized Extreme Value distribution to this data.


Following is my R - script
>  Library (lsmev)
>  ONS <- read.csv("GEV.csv",header = TRUE)
>  gev.fit(ONS[,1])
I get following output

$conv
[1] 0

$nllh
[1] 99.28817

$mle
[1] 5.940866 2.703154 1.425794

$se
[1] 0.6827288 1.1263298 0.2590853

What is the meaning of mle (entries). Does it give me the parameter estimated
for the location(5.940866), scale(2.703154) and shape(1.425794) parameter of the
Generalized Extreme Value distribution.

Please guide.

Thanking you in advance

Maithili Shiva wrote:
> Dear R helpers,
> 
> How do you estimate the (Location, Scale, Shape) parameters of Generalized
Extreme Value distribution using R?
>
> ...
Package lmom, function pelgev.

J. R. M. Hosking