R: EVD Parameter Covariance

parcov.fevd {extRemes} | R Documentation

## EVD Parameter Covariance

### Description

Try to calculate the parameter covariance for an extreme value distribution (EVD) fitted using MLE.

### Usage

    parcov.fevd(x)

### Arguments

`x` | A list object of class “fevd” as returned by `fevd`.

### Details

Makes possibly two calls to `optimHess` in an effort to find the parameter covariance matrix for fitted EVDs where MLE is used. The first attempt uses the actual gradient of the negative log-likelihood. If this fails, or the Hessian matrix cannot be inverted, or there are any negative values along the diagonal in the inverted Hessian, then a second attempt is made using finite differences. See Coles (2001) sec. 2.6.4 for more details.

### Value

An np by np matrix is returned where np is the number of parameters in the model.

### Author(s)

Eric Gilleland

### References

Coles, S. (2001) An introduction to statistical modeling of extreme values, London, U.K.: Springer-Verlag, 208 pp.

### See Also

`fevd`, `summary.fevd`, `print.fevd`

### Examples

    z <- revd(100, loc=20, scale=0.5, shape=-0.2)
    fit <- fevd(z)
    fit

    parcov.fevd(fit)

[Package extRemes version 2.0-8 Index]