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Fitting a generalized extreme value distribution by maximum likelihood

gevfitdepvar[weight] [ifexp] [inrange] [shapevar(varlist_a)scalevar(varlist_b)location var(varlist_c)robustcluster(clustervar)level(#)maximize_options]

by...:may be used withgevfit; see help by.

fweights andaweights are allowed; see help weights.

Description

gevfitfits by maximum likelihood a three-parameter generalized extreme value distribution.

Options

shapevar(),scalevar()andlocationvar()allow the user to specify each parameter as a function of the covariates specified in the respective variable list. A constant term is always included in each equation.

robustspecifies that the Huber/White/sandwich estimator of variance is to be used in place of the traditional calculation; see[U] 23.14Obtaining robust variance estimates.robustcombined withcluster()allows observations which are not independent within cluster (although they must be independent between clusters).

cluster(clustervar)specifies that the observations are independent across groups (clusters) but not necessarily within groups.clustervarspecifies to which group each observation belongs; e.g.,cluster(personid)in data with repeated observations on individuals. See[U] 23.14 Obtaining robust variance estimates. Specifyingcluster()impliesrobust.

level(#)specifies the confidence level, in percent, for the confidence intervals of the coefficients; see help level.

nologsuppresses the iteration log.

maximize_optionscontrol the maximization process; see help maximize. If you are seeing many "(not concave)" messages in the log, using thedifficultoption may help convergence.

Example

. use yearly_rain

. gevfit rain

AuthorScott Merryman, Risk Management Agency (USDA) scott.merryman@gmail.com

AcknowledgementsThis is based on betafit by Nick Cox, Stephen Jenkins, and Maarten Buis.

ReferencesColes, Stuart. 2001.

An Introduction to Statistical Modeling of ExtremeValues.London: Springer-VerlagCole, Stuart and Luis Pericchi. 2003. Anticipating catastrophes through extreme value modelling.

Journal Of The Royal Statistical Society SeriesC, Royal Statistical Society, vol. 52(4), pages 405-416.

Also seeOnline: help for gumbelfit (if installed), help for gevd (if installed)