Function Reference: gplike

statistics: nlogL = gplike (params, data)
statistics: [nlogL, avar] = gplike (params, data)

Negative log-likelihood for the generalized Pareto distribution.

nlogL = gplike (params, data) returns the negative of the log-likelihood for the two-parameter generalized Pareto distribution, evaluated at params(1) = SHAPE and params(2) = SCALE given data. gplike does not allow a LOCATION parameter. nlogL is a scalar.

[nlogL, avar] = gplike (params, data) returns the inverse of Fisher’s information matrix, acov. If the input parameter values in params are the maximum likelihood estimates, the diagonal elements of acov are their asymptotic variances. acov is based on the observed Fisher’s information, not the expected information.

When shape = 0 and location = 0, the generalized Pareto distribution is equivalent to the exponential distribution. When shape > 0 and location = scale / shape, the generalized Pareto distribution is equivalent to the Pareto distribution. The mean of the generalized Pareto distribution is not finite when shape >= 1, and the variance is not finite when shape >= 1/2. When shape >= 0, the generalized Pareto distribution has positive density for x > location, or, when shape < 0, for 0 <= (x - location) / scale <= -1 / shape.

See also: gpcdf, gpinv, gppdf, gprnd, gpfit, gpstat

Source Code: gplike