Calculates summary statistics involved in the Generalized Pareto log-likelihood.
Value
A list with components
- gpd_data
A numeric vector. The input vector with any missings removed.
- m
A numeric scalar. The sample size, i.e., the number of non-missing values.
- xm
A numeric scalar. The sample maximum
- sum_gp
A numeric scalar. The sum of the non-missing sample values.
See also
rgpd for simulation from a generalized Pareto
distribution.
Examples
# \donttest{
# Sample data from a GP(sigma, xi) distribution
gpd_data <- rgpd(m = 100, xi = 0, sigma = 1)
# Calculate summary statistics for use in the log-likelihood
ss <- gpd_sum_stats(gpd_data)
# }