Class PeaksOverThreshold
- java.lang.Object
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- dev.nm.stat.evt.evd.univariate.fitting.pot.PeaksOverThreshold
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- All Implemented Interfaces:
MaximumLikelihoodFitting
public class PeaksOverThreshold extends Object implements MaximumLikelihoodFitting
Peaks Over Threshold (POT) method estimates the parameters for generalized Pareto distribution (GPD) using maximum likelihood on the observations that are over a given threshold. The R equivalent functions areevd::fpot
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Constructor Summary
Constructors Constructor Description PeaksOverThreshold(double threshold)
Create an instance for POT method with a given threshold.
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Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description EstimateByLogLikelihood
fit(double[] observations)
Fits the observations to a generalized Pareto distribution (GPD).
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Method Detail
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fit
public EstimateByLogLikelihood fit(double[] observations) throws Exception
Fits the observations to a generalized Pareto distribution (GPD).- Specified by:
fit
in interfaceMaximumLikelihoodFitting
- Parameters:
observations
- the observations- Returns:
- the estimate for the GPD parameters (scale, shape)
- Throws:
Exception
- if the optimization module failed to find parameters by MLE
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