Hi everyone, is there a function to fit a frechet distribution? The only thing I found is gev.fit from ismev which fits a generalized extreme value distribution (if shape>1 => Frechet) . Is there a function to only fit a frechet? Thank you Benjamin
A way to solve this problem is transform the three parameters from the GEV-distribution into Frechet. Have a look at Thomas & Reiss, Statistical Analysis of Extreme Values, or the thesis of Han Zhongxian, Actuarial modelling of extremal events... The last is free in the web. I am myself using the package evd by Alec Stephenson. Best wishes Ekkehardt