I have already estimated the threshold that I will consider, created the pdf of the extreme values that I will take into account and currently trying to fit to this a Generalized Pareto Distribution. Thus, I need to find a way to estimate the values of the shape and scale parameter of the Generalized Pareto Distribution.
You can do so in most statistical packages for example R. In you can find several packages packages like evir, extRemes, etc with functions for fitting a GPD distribution. In your case, if your chosen threshold is suitable, you can easily use the function gpd in evir as sown below:
gpd(data, threshold = NA, nextremes = NA, method = c("ml", "pwm"),
information = c("observed", "expected"), ...)
Arguments
I like the software EASYFIT as it will fit over 60 different distributions, estimate the parameters and rank the fits based on KS, AD and chi-square. It illustrates the PDF, CDF, Hazard and Survival functions.
Thank you all for your answers. For those who use MATLAB, the command gpfit can solve this problem simply and very quickly, and moreover, provides trustworthy results.
- Badges
- Science topic
- Similar topics
- Mathematics
- Statistics