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2005 Oct 07
1
Troubleshooting with "gpd" (Fit generalized pareto model)
...tion from the package "evir" I think that all these functions that estimate the parameters xi, beta for the GPD by given threshold mu use the function "optim(..)" ( gpd, fitgpd, ...) "Error" example: data1 <- rgpd(1000, xi= -1.5, mu=1000, beta=100) so the created poinnts take place in about (1000, 1070). Now I want to estimate xi and beta by given threshold =1060, out <- gpd(data1, threshold=1060) and this causes an error in "optim". My questions are (1) Is there a more secure way the get the MLE estimators for a GPD by given threshold and...