Fitting a generalized extreme value distribution by maximum likelihood
gevfit depvar [weight] [if exp] [in range] [ shapevar(varlist_a) scalevar(varlist_b) location var(varlist_c) robust cluster(clustervar) level(#) maximize_options ]
by ... : may be used with gevfit; see help by.
fweights and aweights are allowed; see help weights.
gevfit fits by maximum likelihood a three-parameter generalized extreme value distribution.
shapevar(), scalevar() and locationvar() 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.
robust specifies that the Huber/White/sandwich estimator of variance is to be used in place of the traditional calculation; see [U] 23.14 Obtaining robust variance estimates. robust combined with cluster() 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. clustervar specifies 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. Specifying cluster() implies robust.
level(#) specifies the confidence level, in percent, for the confidence intervals of the coefficients; see help level.
nolog suppresses the iteration log.
maximize_options control the maximization process; see help maximize. If you are seeing many "(not concave)" messages in the log, using the difficult option may help convergence.
. use yearly_rain
. gevfit rain
Scott Merryman, Risk Management Agency (USDA) firstname.lastname@example.org
This is based on betafit by Nick Cox, Stephen Jenkins, and Maarten Buis.
Coles, Stuart. 2001. An Introduction to Statistical Modeling of Extreme Values. London: Springer-Verlag
Cole, Stuart and Luis Pericchi. 2003. Anticipating catastrophes through extreme value modelling. Journal Of The Royal Statistical Society Series C, Royal Statistical Society, vol. 52(4), pages 405-416.
Online: help for gumbelfit (if installed), help for gevd (if installed)