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point
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...