gpdfit.Rd

% Generated by roxygen2: do not edit by hand
% Please edit documentation in R/gpdfit.R
\name{gpdfit}
\alias{gpdfit}
\title{Estimate parameters of the Generalized Pareto distribution}
\usage{
gpdfit(x, wip = TRUE, min_grid_pts = 30, sort_x = TRUE)
}
\arguments{
\item{x}{A numeric vector. The sample from which to estimate the parameters.}

\item{wip}{Logical indicating whether to adjust \eqn{k} based on a weakly
informative Gaussian prior centered on 0.5. Defaults to \code{TRUE}.}

\item{min_grid_pts}{The minimum number of grid points used in the fitting
algorithm. The actual number used is \code{min_grid_pts + floor(sqrt(length(x)))}.}

\item{sort_x}{If \code{TRUE} (the default), the first step in the fitting
algorithm is to sort the elements of \code{x}. If \code{x} is already
sorted in ascending order then \code{sort_x} can be set to \code{FALSE} to
skip the initial sorting step.}
}
\value{
A named list with components \code{k} and \code{sigma}.
}
\description{
Given a sample \eqn{x}, Estimate the parameters \eqn{k} and \eqn{\sigma} of
the generalized Pareto distribution (GPD), assuming the location parameter is
0. By default the fit uses a prior for \eqn{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.
}
\details{
Here the parameter \eqn{k} is the negative of \eqn{k} in Zhang &
Stephens (2009).
}
\references{
Zhang, J., and Stephens, M. A. (2009). A new and efficient estimation method
for the generalized Pareto distribution. \emph{Technometrics} \strong{51}, 316-325.
}
\seealso{
\code{\link[=psis]{psis()}}, \link{pareto-k-diagnostic}
}