R: Estimate parameters of the Generalized Pareto distribution

gpdfit {loo} | R Documentation

## Estimate parameters of the Generalized Pareto distribution

### Description

Estimate the parameters k and σ of the generalized Pareto distribution (assuming location parameter is 0), given a sample x. By default the Pareto fit uses a prior for k, which will stabilize estimates for very small sample sizes and low effective sample sizes in the case of MCMC samples. The weakly informative prior is a Gaussian prior centered at 0.5.

### Usage

    gpdfit(x, wip = TRUE, min_grid_pts = 30, sort_x = TRUE)

### Arguments

`x` | A numeric vector. The sample from which to estimate the parameters.
`wip` | Logical indicating whether to adjust k based on a weakly informative Gaussian prior centered on 0.5. Defaults to `TRUE`.
`min_grid_pts` | The minimum number of grid points used in the fitting algorithm. The actual number used is `min_grid_pts + floor(sqrt(length(x)))`.
`sort_x` | If `TRUE` (the default), the first step in the fitting algorithm is to sort the elements of `x`. If `x` is already sorted in ascending order then `sort_x` can be set to `FALSE` to skip the initial sorting step.

### Details

Here the parameter k is the negative of k in Zhang & Stephens (2009).

### Value

A named list with components `k` and `sigma`.

### References

Zhang, J., and Stephens, M. A. (2009). A new and efficient estimation method for the generalized Pareto distribution. Technometrics 51, 316-325.

### See Also

`psis`, `pareto-k-diagnostic`, `loo-package`

[Package loo version 2.0.0 Index]