NAG Library Function Document
nag_estim_gen_pareto (g07bfc)
1
Purpose
nag_estim_gen_pareto (g07bfc) estimates parameter values for the generalized Pareto distribution by using either moments or maximum likelihood.
2
Specification
#include <nag.h> |
#include <nagg07.h> |
void |
nag_estim_gen_pareto (Integer n,
const double y[],
Nag_OptimOpt optopt,
double *xi,
double *beta,
double asvc[],
double obsvc[],
double *ll,
NagError *fail) |
|
3
Description
Let the distribution function of a set of
observations
be given by the generalized Pareto distribution:
where
- and
- , when ;
- , when .
Estimates
and
of the parameters
and
are calculated by using one of:
- method of moments (MOM);
- probability-weighted moments (PWM);
- maximum likelihood estimates (MLE) that seek to maximize the log-likelihood:
The variances and covariance of the asymptotic Normal distribution of parameter estimates
and
are returned if
satisfies:
- for the MOM;
- for the PWM method;
- for the MLE method.
If the MLE option is exercised, the observed variances and covariance of and is returned, given by the negative inverse Hessian of .
4
References
Hosking J R M and Wallis J R (1987) Parameter and quantile estimation for the generalized Pareto distribution Technometrics 29(3)
McNeil A J, Frey R and Embrechts P (2005) Quantitative Risk Management Princeton University Press
5
Arguments
- 1:
– IntegerInput
-
On entry: the number of observations.
Constraint:
.
- 2:
– const doubleInput
-
On entry: the observations
, for , assumed to follow a generalized Pareto distribution.
Constraints:
- ;
- .
- 3:
– Nag_OptimOptInput
-
On entry: determines the method of estimation, set:
- For the method of probability-weighted moments.
- For the method of moments.
- For maximum likelihood with starting values given by the method of moments estimates.
- For maximum likelihood with starting values given by the method of probability-weighted moments.
Constraint:
, , or .
- 4:
– double *Output
-
On exit: the parameter estimate .
- 5:
– double *Output
-
On exit: the parameter estimate .
- 6:
– doubleOutput
-
On exit: the variance-covariance of the asymptotic Normal distribution of and . contains the variance of ; contains the variance of ; and contain the covariance of and .
- 7:
– doubleOutput
-
On exit: if maximum likelihood estimates are requested, the observed variance-covariance of and . contains the variance of ; contains the variance of ; and contain the covariance of and .
- 8:
– double *Output
-
On exit: if maximum likelihood estimates are requested,
ll contains the log-likelihood value
at the end of the optimization; otherwise
ll is set to
.
- 9:
– NagError *Input/Output
-
The NAG error argument (see
Section 3.7 in How to Use the NAG Library and its Documentation).
6
Error Indicators and Warnings
- NE_ALLOC_FAIL
-
Dynamic memory allocation failed.
See
Section 2.3.1.2 in How to Use the NAG Library and its Documentation for further information.
- NE_BAD_PARAM
-
On entry, argument had an illegal value.
- NE_INT
-
On entry, .
Constraint: .
- NE_INTERNAL_ERROR
-
An internal error has occurred in this function. Check the function call and any array sizes. If the call is correct then please contact
NAG for assistance.
See
Section 2.7.6 in How to Use the NAG Library and its Documentation for further information.
- NE_NO_LICENCE
-
Your licence key may have expired or may not have been installed correctly.
See
Section 2.7.5 in How to Use the NAG Library and its Documentation for further information.
- NE_OPTIMIZE
-
The optimization of log-likelihood failed to converge; no maximum likelihood estimates are returned. Try using the other maximum likelihood option by resetting
optopt. If this also fails, moments-based estimates can be returned by an appropriate setting of
optopt.
Variance of data in
y is too low for method of moments optimization.
- NE_REAL_ARRAY
-
On entry, .
Constraint: for all .
- NE_ZERO_SUM
-
The sum of
y is zero within
machine precision.
- NW_PARAM_DIST
-
The asymptotic distribution of parameter estimates is invalid and the distribution of maximum likelihood estimates cannot be calculated for the returned parameter estimates because the Hessian matrix could not be inverted.
- NW_PARAM_DIST_ASYM
-
The asymptotic distribution is not available for the returned parameter estimates.
- NW_PARAM_DIST_OBS
-
The distribution of maximum likelihood estimates cannot be calculated for the returned parameter estimates because the Hessian matrix could not be inverted.
7
Accuracy
Not applicable.
8
Parallelism and Performance
nag_estim_gen_pareto (g07bfc) is threaded by NAG for parallel execution in multithreaded implementations of the NAG Library.
nag_estim_gen_pareto (g07bfc) makes calls to BLAS and/or LAPACK routines, which may be threaded within the vendor library used by this implementation. Consult the documentation for the vendor library for further information.
Please consult the
x06 Chapter Introduction for information on how to control and interrogate the OpenMP environment used within this function. Please also consult the
Users' Note for your implementation for any additional implementation-specific information.
The search for maximum likelihood parameter estimates is further restricted by requiring
as this avoids the possibility of making the log-likelihood
arbitrarily high.
10
Example
This example calculates parameter estimates for observations assumed to be drawn from a generalized Pareto distribution.
10.1
Program Text
Program Text (g07bfce.c)
10.2
Program Data
Program Data (g07bfce.d)
10.3
Program Results
Program Results (g07bfce.r)