gpde.ll {mev} | R Documentation |
Negative log likelihood of the generalized Pareto distribution (expected shortfall)
Description
Negative log likelihood of the generalized Pareto distribution (expected shortfall)
Negative log likelihood of the generalized Pareto distribution (expected shortfall) - optimization The negative log likelihood is parametrized in terms of log expected shortfall and shape in order to perform unconstrained optimization
Usage
gpde.ll(par, dat, m)
gpde.ll.optim(par, dat, m)
Arguments
par |
vector of length 2 containing |
dat |
sample vector |
m |
number of observations of interest for return levels. See Details |
See Also
[Package mev version 1.17 Index]