Function File: paramhat, paramci = gevfit (data, parmguess)

Find the maximum likelihood estimator (paramhat) of the generalized extreme value (GEV) distribution to fit data.

Arguments

• data is the vector of given values.
• parmguess is an initial guess for the maximum likelihood parameter vector. If not given, this defaults to k=0 and sigma, mu determined by matching the data mean and standard deviation to their expected values.

Return values

• parmhat is the 3-parameter maximum-likelihood parameter vector [k sigma mu], where k is the shape parameter of the GEV distribution, sigma is the scale parameter of the GEV distribution, and mu is the location parameter of the GEV distribution.
• paramci has the approximate 95% confidence intervals of the parameter values based on the Fisher information matrix at the maximum-likelihood position.

Examples

data = 1:50;
[pfit, pci] = gevfit (data);
p1 = gevcdf(data,pfit(1),pfit(2),pfit(3));
plot(data, p1)

See also: gevcdf, gevinv, gevlike, gevpdf, gevrnd, gevstat.

Package: statistics