KS and AD test for Generalized PAreto and Generalized Extreme value
fExtremes::pgpd & pgev have always worked for me. Though, if I remember right, the physical sciences and finance tend to use reciprocal definitions for one of the parameters (can't remember which -- xi in gpd perhaps?) so tread lightly. Michael
On Wed, Jan 4, 2012 at 8:21 AM, David Winsemius <dwinsemius at comcast.net> wrote:
On Jan 4, 2012, at 5:49 AM, Vincy Pyne wrote:
Dear R helpers, I need to use KS and AD test for Generalized Pareto and Generalized extreme value.
When I searched on these names "Generalized Pareto" ?and "Generalized extreme value" I got plenty of hits (over 90 in one case and over 100 in another) You should learn to search with either sos::findFn or with RSiteSearch, -- David.
E.g. if I need to use KS for Weibull, I have teh syntax ks.test(x.wei,"pweibull", shape=2,scale=1) Similarly, for AD I use ad.test(x, distr.fun, ...) My problem is fir given data, I have estimated the parameters of GPD and GEV using lmom. But I am not able to find out the distribution name I should be use for these distributions if I wish to use these tests. E.g, for gamma, I can use pgamma etc. What distribution name I should use for GPD and GEV and for that matter where can I find the distribution names I can use for KS and AD test. Thanks in advance Regards Vincy ? ? ? ?[[alternative HTML version deleted]]
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David Winsemius, MD West Hartford, CT
______________________________________________ R-help at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.