[R] R: extreme value theory

[Clark Allan]

hi all

i have a simple question about the gev dist and ?gevFit from the
fExtremes package.

does the function ever give a negative tail index? 

i am reading the text by ruey tsay (chapter 7). the data is included
below. the parameter estimates (using gevFit) are all more or less the
same as the text but the tail parameter has the opposite sign. (in text
they are neg and from R they are positive) 

am i missing something???


thanking you in advance
/
allan


daily returns series from 1962 - 1998

ibm
  0.4280
 -0.4280
 -1.4390
  1.5110
  2.3980
  4.2630
  1.2270
 -0.7290
  1.6470
 -3.2880
 -1.3260
  0.6140
  1.2170
  0.2690
 -2.6490
  1.1630
  0.5430
  1.7100
  3.0140
 -0.0970
 -2.8170
  2.4940
 -0.1940
 -1.3080
 -1.5920
  2.2510
 -1.3850
 -0.1990
  0.7950
  1.8960
  0.1300
 -0.0650
  0.8370
  1.0850
 -0.2540
  4.0540
  0.3660
 -0.3660
 -0.2440
 -3.6190
 -0.6370
 -0.8340
  2.1680
 -2.2330
 -1.1680
  1.2970
 -1.4930
  0.5220
 -0.5880
  0.4240
 -0.0330
  1.2310
  1.7240
 -0.7620
 -1.4780
 -0.9100
 -1.5800
 -3.9940
  1.9830
 -3.7950
 -1.5590
  0.9950
 -3.7840
  2.8960
 -0.5360
  2.6190
  0.6970
 -0.1390
  1.7910
 -1.9640
 -0.8740
 -0.2110
  3.2540
 -2.6230
  1.1130
 -1.7790
 -1.9910
 -1.4830
 -3.8640
  2.9850
 -0.4420
 -2.0900
  3.8470
  2.0820
 -1.6490
  1.7190
  1.4800
  1.3900
 -0.0690
 -1.6750
  1.6750
  3.3350
 -1.8240
  2.0910
 -0.5350
  1.5980
 -1.7320
  1.1690
  0.2320
  2.8100
  0.1930
  1.5310
  0.6950
  0.8770
 -0.6250
 -1.7730
  2.2100
 -0.3760
 -0.0630
 -0.2510
 -2.1610
 -0.3870
  1.6000
 -1.4710
  0.3860
 -1.1620
 -0.7170
  2.5500
  0.0000
 -1.7690
  2.2460
 -0.0630
 -0.7000
  0.3830
 -0.6390
 -1.3550
  3.0080
  0.1260
 -0.8220
  2.4460
  0.0620
  0.6790
  0.3080
  1.5810
  0.1810
 -1.5780
  1.2770
 -0.3020
  0.3630
  0.1810
 -0.1210
  0.4210
  0.5990
  1.4240
 -0.6500
 -0.5340
  1.0080
  0.0000
 -0.8290
  0.4150
 -0.6550
  0.1790
  0.2390
 -0.5370
  0.1800
 -0.2390
  0.0600
  0.2390
 -0.2090
 -0.8110
 -0.8480
 -0.1820
 -1.5350
  0.6790
 -0.3700
 -1.3660
 -0.6270
  1.5610
 -0.4350
  0.7750
  0.9520
 -0.0610
 -0.0610
 -0.0610
  0.1840
  0.3060
  0.7900
 -0.9110
  0.1220
  0.9710
 -0.6660
  0.7260
 -0.1810
  0.6630
  1.1350
 -0.0590
  0.0590
  0.0000
 -0.8340
  1.1320
  1.7900
  2.7820
  1.5990
 -0.9790
 -0.5350
  0.8720
 -0.0560
 -0.7320
 -0.5090
  0.0000
  2.1340
  1.5440
  0.8710
  0.3240
  0.3500
  1.2580
 -0.3200
 -1.0190
  0.2700
  0.8030
 -0.6950
 -1.5690
  0.6530
  2.0960
  0.1060
  0.9510
 -0.7920
 -0.1590
  0.3180
 -0.4250
 -0.6400
 -0.9140
  0.9140
 -0.2140
 -0.3230
 -0.3240
 -1.0860
  0.4360
  2.1510
  1.5310
 -0.8420
  0.1580
 -0.8480
  0.0000
 -0.3730
 -1.2890
  0.5930
  0.6970
 -1.0190
 -0.0540
 -0.8670
 -0.1630
 -0.3280
 -0.4930
  0.1650
 -1.4370
 -0.5020
 -1.8070
 -1.0310
  0.4600
 -2.2600
  2.7750
  0.7380
  0.7330
 -2.0430
  1.1120
 -0.8830
 -0.6880
 -0.5780
  0.2320
  0.6340
 -0.5180
 -0.8110
 -0.0580
 -0.2910
 -0.2920
  0.4090
  0.1170
  0.5810
  0.3470
  2.2830
 -1.9380
  0.1150
 -0.6920
  1.3220
  1.1360
 -1.0530
  0.4280
  1.0200
  0.4500
  1.9450
  0.6030
 -0.6580
 -0.3310
 -0.1100
 -1.2240
  0.5030
  0.8330
 -0.8880
  0.3330
 -1.7940
  0.3380
 -0.2250
  0.5070
  0.6160
  0.1120
  0.5560
  1.7600
 -0.4370
  0.3280
 -0.2180
 -0.1090
 -0.2190
 -0.1100
  0.0270
 -1.1320
  0.9400
  0.4940
 -0.4390
  1.7450
 -0.9780
 -1.7060
 -0.3900
  0.7770
 -0.4990
 -0.1110
  1.7100
  0.9800
  1.7180
 -1.5020
  0.0000
  0.6470
  0.7490
  1.4820
  0.4190
  2.5310
  0.4070
  0.5070
 -0.1520
 -1.6320
 -0.6190
  0.4130
  1.7380
  0.7570
 -1.2140
 -1.4350
  1.9930
 -1.1190
 -0.6670
 -0.8290
  0.3130
  0.6210
  0.5150
  0.2050
  0.3070
 -0.5120
 -0.4120
 -0.9320
 -1.7320
 -0.0530
 -1.7100
  0.2690
  1.2820
  1.4220
  1.5060
  1.3810
 -0.5090
 -1.3370
  0.9280
 -0.6170
 -0.1030
 -0.6220
 -0.2080
 -0.9950
  0.0000
  0.1580
  1.5640
  0.0000
 -0.1030
  0.1040
 -0.1030
  0.3110
  1.2300
  0.6100
  1.1080
  1.5900
  1.9530
 -1.3630
  0.2940
 -0.6860
  0.9790
  2.9760
  0.8470
  0.5610
 -0.1870
  4.7460
 -1.9800
  0.5440
 -0.1810
 -1.8290
  0.9190
  0.4560
 -0.6390
 -1.1050
 -1.1170
 -1.8910
  0.9490
  2.4270
 -0.1850
 -0.0460
 -0.6510
  0.0000
  0.1870
  0.5570
  0.3690
  0.7350
  1.4540
  0.2710
 -0.4510
  0.1810
  0.0000
  0.2710
  0.2250
  2.3520
  0.9600
 -1.5760
  0.4400
 -0.7940
 -0.0890
 -1.0700
  0.8030
  0.9730
  0.0000
  0.0880
  1.1800
  1.6810
  0.5960
 -0.6820
 -0.1710
 -0.6450
 -0.4320
 -0.4770
  0.9520
  0.3440
  0.7700
  0.3400
  0.0850
  0.8870
  0.1680
  0.4610
  0.0840
 -0.2510
 -1.4770
 -0.6390
  0.1280
  1.9460
 -1.0950
 -0.7230
 -0.3420
 -0.3000
  0.5560
 -0.6000
  1.3660
  0.6760
 -1.6980
 -0.1710
 -0.3440
  0.4290
 -1.2070
 -1.0900
  1.6090
  0.7740
  0.1280
 -0.1280
 -0.1280
  0.2140
 -0.0860
  0.4270
  0.1280
 -0.4690
  0.5120
  0.6360
  1.0510
  1.5060
  0.7700
  0.4080
 -1.2810
 -0.3100
 -1.1480
  0.7320
 -1.4160
  0.4740
 -1.1640
 -1.7710
  0.4860
 -0.6490
  1.9330
 -0.6400
  0.4270
  0.7430
  0.7380
  0.6810
  0.5720
 -0.9380
  0.4180
  0.2610
 -0.4170
  0.5210
 -0.0520
 -0.6260
 -0.1570
 -0.0520
  0.8350
  0.6220
  0.8230
  0.6130
 -0.4080
 -0.2560
 -1.0820
 -0.2070
 -1.9930
  1.0530
  0.4180
  0.0000
 -1.0490
 -0.3700
 -0.1590
 -0.3190
 -1.3390
 -0.4860
 -0.2170
  0.8920
 -0.6750
  0.1080
 -0.4880
 -3.1490
  1.5080
 -1.3960
  0.9510
  0.0000
 -0.7830
  0.6710
  0.8880
 -1.2220
  0.1120
  0.0560
 -0.9540
 -2.1650
  1.1450
 -0.8870
 -1.5350
 -0.1750
  0.5250
  1.7860
  0.6260
  0.1140
  0.2270
  0.5080
 -0.0280
 -0.8770
 -1.1430
 -2.1180
 -0.2050
 -3.1660
  1.0860
  2.4020
  1.7140
 -1.9780
  0.2350
 -0.2340
  1.0520
  0.4640
  1.5510
 -0.8010
  0.5160
 -0.2290
 -0.4020
 -0.4040
 -0.6370
 -1.2280
  0.1180
  0.7030
  0.5810
 -0.6980
 -1.6500
  0.2380
  0.8260
  1.2850
 -0.6980
 -0.8800
  0.0590
 -0.3540
 -0.3850
 -1.5250
  0.3600
  0.5980
  0.3570
 -0.1190
 -0.4180
  0.0000
  0.4190
 -0.0600
  0.1190
  0.0000
  0.0000
  0.1190
  1.5960
  1.3400
 -0.2310
 -2.3470
  0.0000
  1.1220
 -0.6480
 -0.9510
 -0.4780
 -0.1200
 -0.9650
 -1.2190
  0.1230
  1.0970
  1.0850
 -0.1200
 -2.0620
 -0.2140
  0.4600
  1.0340
 -0.5450
 -0.0910
  0.0910
  0.4860
  0.4830
  0.0000
 -0.2410
 -0.7280
  0.6060
 -0.1810
 -0.5460
  0.1830
 -0.4270
 -1.0740
 -0.2470
  1.1380
  2.1780
  1.7200
 -0.6490
  0.2370
  0.1770
  0.9390
  1.5650
  1.2570
  0.8480
 -0.0560
 -0.1690
  0.8430
 -0.2800
 -0.5060
  1.1770
  0.1110
 -0.1110
 -0.6710
  0.1120
 -0.5070
  1.4590
 -0.7270
 -1.0150
  1.2390
 -1.5800
  0.1140
  0.1990
 -1.8020
 -0.6950
  0.5790
  2.5110
  0.8980
  0.1120
  0.3340
  1.1060
  0.2750
 -0.1100
  0.1650
 -0.5500
 -1.0530
  0.7210
  0.4970
  1.3120
 -0.7090
  0.5460
  1.0820
  0.5900
 -0.6980
 -0.2160
  0.3230
 -0.3240
  0.1080
 -0.4860
 -0.4890
 -0.6560
 -1.5470
  1.2730
  0.0000
 -0.1100
  0.3290
  0.3830
  0.4360
 -0.6550
 -0.1100
  0.4380
  2.5860
 -0.1060
  0.5310
  0.1060
 -0.1060
  1.4720
 -0.1040
 -0.4190
  0.6280
  0.1560
 -0.2600
  0.0000
  0.0000
  0.2090
  1.0370
 -0.3090
  0.5160
  0.1030
  1.0260
 -1.0250
 -1.2450
  0.2090
  1.0110
 -0.1800
 -0.5180
 -1.4650
  0.3160
  0.4190
 -1.0520
 -0.8500
 -1.9380
  2.3630
 -0.8530
 -0.1070
  2.4350
 -2.0070
  1.3770
 -0.8460
  0.7400
 -0.0530
 -1.2190
 -2.1570
 -1.2070
  0.3850
 -0.6070
  1.3740
 -0.2730
  1.2500
 -0.0540
 -0.4330
 -0.4350
 -0.2180
 -0.4380
 -1.9400
 -0.9560
  1.6810
  1.7620
  0.6530
  0.7560
 -0.8100
 -0.5990
  1.9460
  0.5870
 -0.5870
 -0.2140
  0.9080
  0.3180
  0.5810
  0.0000
 -1.7810
 -0.6720
 -0.4330
  1.0790
 -0.0540
 -0.3770
  1.6030
  0.8440
  0.7330
 -0.5760
  1.0700
  1.0110
 -0.6720
  0.4140
  0.1030
 -0.3100
  0.3110
  1.1300
  0.6110
 -0.0510
 -0.3050
  0.4070
 -0.5600
  0.4070
  0.6080
  1.3550
 -0.5500
  0.0500
  0.2500
 -0.0500
 -0.2500
  0.2000
  0.3490
  0.4470
 -0.1490
 -0.2480
  0.4470
 -0.0990
  1.4290
 -0.2940
 -0.0490
  0.5390
  0.5360
 -0.5350
  0.4870
  0.3880
 -0.1940
 -0.6810
  0.6820
 -0.4860
 -0.2920
  0.1960
 -1.0790
  0.4430
  0.4410
  0.3900
 -0.4880
  0.7800
  0.7740
 -0.8220
  0.2430
 -0.1940
  0.5330
  0.5300
  0.2400
  1.0960
  0.0000
  0.2840
 -0.2840
 -0.6660
  1.2320
  0.1890
  0.2820
  0.2810
  0.3510
  0.4900
 -0.1860
  0.3720
 -1.1200
  0.1410
  0.2340
  0.6530
  0.0930
  0.7860
  0.5970
 -0.6430
  0.0000
 -0.3700
 -0.9290
  0.0000
  0.0000
 -1.4110
 -0.5700
 -1.7290
 -2.8500
  0.9920
 -0.8920
  1.2870
  0.5880
  0.8280
  0.4350
 -0.2900
 -1.9550
 -2.2960
  0.8050
 -0.1000
  0.6500
  0.9920
 -0.1970
 -1.3440
  0.2000
  0.4490
 -0.8500
  0.4010
 -0.2000
 -1.1080
 -0.3040
  0.6590
  0.5530
 -0.0500
 -0.3010
  0.3020
 -0.4530
  0.6030
 -0.5030
 -0.7090
 -1.8440
 -1.0390
  1.0400
  1.5390
  0.6090
  2.8930
 -0.4930
 -0.6940
 -1.1010
 -0.2010
 -0.8090
 -0.4080
  1.2680
  0.2520
  0.9500
  1.4570
  0.8090
  0.9230
  1.4880
 -1.0050
 -1.2100
  0.9690
 -0.7990
 -0.3170
 -0.4890
 -0.5900
 -0.0990
  1.0800
  0.5840
 -1.9610
 -1.0950
  0.7480
  0.2480
 -1.3980
 -0.1010
  1.8930
 -0.5940
 -0.6970
 -0.0500
 -0.2500
  0.7990
 -0.4990
 -0.2000
  1.9840
  0.5870
  0.0000
  0.9720
  1.5350
 -0.8130
 -0.3370
 -1.5530
  0.9730
  0.9640
  0.5740
  0.9490
  0.3770
  1.6810
  1.8580
 -2.0430
  0.6470
  3.2200
 -1.3020
 -1.0910
 -0.3670
  0.5480
  1.2690
  0.0000
 -2.5550
  2.5550
  1.0750
 -1.0760
  0.4490
  0.4470
 -0.4920
 -1.5820
 -1.9330
 -1.4040
 -1.9510
  0.8140
  1.2790
 -1.3740
 -0.9590
  0.1930
 -0.6750
  2.4860
  2.5520
 -0.3810
  1.9900
  1.6440
 -0.5370
  0.1350
 -0.1350
 -2.2490
 -2.1590
 -1.8570
 -1.0140
 -1.9100
 -0.8940
  1.4860
  2.9070
  0.0000
 -1.1530
  0.2900
 -1.0170
  1.0520
  3.0940
  1.5290
  0.1380
 -0.2750
 -1.6710
 -0.2810
 -1.3470
  0.3560
 -0.9650
  0.6800
  1.1350
 -0.1410
  1.0890
  0.8690
 -1.0440
 -0.3510
  0.1400
 -1.5550
  0.9570
  1.0180
  0.0000
 -1.5480
 -0.8550
  1.5260
 -0.1060
 -1.9950
 -0.1440
  0.3590
 -1.2280
 -0.9490
 -2.5640
  0.1130
  1.6400
  1.7590
 -0.3280
  0.0360
 -0.4820
 -0.6630
  0.6640
  2.6830
 -0.4300
 -1.3010
 -0.4380
 -1.9190
  0.0000
 -1.9560
  0.0760
 -0.3810
 -1.1500
 -2.8540
 -2.6120
  3.7560
  0.5470
  0.0000
 -0.1560
 -0.8630
 -0.7120
 -1.8420
  1.8420
  1.7310
 -0.4690
  1.4010
  3.4930
 -1.6560
 -0.1520
 -2.1510
 -2.1180
  1.2220
 -0.0390
  2.3240
  0.3060
 -2.6290
 -1.1830
  0.7110
 -2.1090
 -0.4430
  0.1620
 -1.5440
 -4.2240
  5.5250
 -1.3840
  2.5890
  1.2700
 -0.3150
  0.1580
  2.6510
 -2.3350
  0.3150
  1.0930
  0.0000
  0.8500
  1.4520
  1.0560
  0.5610
 -0.8630
  2.3810
  1.3150
  0.1740
  0.7240
  0.7190
  0.1430
  0.8540
 -0.1420
 -0.7130
  0.8540
  1.6880
 -0.4190
 -0.5620
 -1.9920
  0.0000
  2.2730
  2.8380
  1.1530
  0.6730
  0.8010
 -1.5750
 -0.8480
  1.4210
  0.9360
  1.5180
  0.3920
 -1.7120
  1.1880
  0.3270
 -0.1960
 -2.2530
 -0.4700
 -0.3380
  0.8080
 -0.2680
 -0.6740
 -0.5420
 -0.4770
  0.3410
  0.5440
  0.6760
 -0.6750
 -1.0900
  0.9540
  2.5450
  2.0940
  0.7740
  1.2770
 -0.5090
  1.1410
 -3.0730
  0.9060
  0.7700
 -0.3210
  0.0640
  1.9050
  0.5020
 -0.8800
  0.2530
  1.1280
  0.7440
 -1.2440
 -1.6400
  0.8870
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