Function File: paramhat, paramci = gevfit_lmom (data)

Find an estimator (paramhat) of the generalized extreme value (GEV) distribution fitting data using the method of L-moments.

Arguments

• data is the vector of given 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 (currently not implemented).

Examples

data = gevrnd (0.1, 1, 0, 100, 1);
[pfit, pci] = gevfit_lmom (data);
p1 = gevcdf (data,pfit(1),pfit(2),pfit(3));
[f, x] = ecdf (data);
plot(data, p1, 's', x, f)

See also: gevfit.

References

1. Ailliot, P.; Thompson, C. & Thomson, P. Mixed methods for fitting the GEV distribution, Water Resources Research, 2011, 47, W05551

Package: statistics