weiGpdLik {lognGPD} | R Documentation |
Weighted GPD log-likelihood
Description
This function evaluates the zero-mean generalized Pareto log-likelihood function computed with weighted observations.
Usage
weiGpdLik(x, y, post)
Arguments
x |
numerical vector (2x1): values of the parameters |
y |
numerical vector (nx1): observed data. |
post |
numerical vector (nx1) with elements in (0,1): weights of the observations (in the EM algorithm, posterior probabilities). |
Value
llik real: numerical value of the log-likelihood function
Examples
y <- rlognGPD(100,.9,0,1,0.5,2)
x0 <- c(.7,.2,1.3,.8,1.7)
res <- EMlogngpdmix(x0, y, 1000)
llik <- weiGpdLik(c(res$beta,res$xi),y,res$post)
[Package lognGPD version 0.1.0 Index]