[R] Parameter estimation - Generalized Extreme value Distribution

[Maithili Shiva]

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