[R] Fitting data using Generalized Pareto Distribution

TicoR ticor.vaakav at gmail.com
Sun Nov 27 17:01:11 CET 2016


Let the train be the data set consisting of numbers that I need to fit.
Code is as follows:
library(extRemes)
thresh90 <- quantile(train, 0.90)
model<-fevd(train,threshold =thresh90,type="GP")

Model returns the following :
Negative Log-Likelihood Value:  317.7561


 Estimated parameters:
     scale      shape
 0.8858284 -0.3596079

 Standard Error Estimates:
     scale      shape
0.04377744 0.03194536

 Estimated parameter covariance matrix.
             scale        shape
scale  0.001916464 -0.001236952
shape -0.001236952  0.001020506



On Sun, Nov 27, 2016 at 9:08 PM, Rui Barradas <ruipbarradas at sapo.pt> wrote:

> Hello,
>
> Please provide us with a reproducible example. A data exampla would be
> nice and some working code, the code you are using to fit the data.
>
> Rui Barradas
>
>
> Em 27-11-2016 15:04, TicoR escreveu:
>
>> I am trying to fit some data using Generalized Pareto Distribution in R
>> using extRemes package(https://cran.r-project.org/web/packages/extRemes)
>> I
>> am able to get the parameters for the distribution. How would I get the
>> simulated values for the model using the parameters?
>>
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>>
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>>
>>

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