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help for gevfit
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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.


Description

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


Options

    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.


Example

    . use yearly_rain

    . gevfit rain


Author

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


 Acknowledgements

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


References

    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.


Also see

    Online: help for gumbelfit (if installed), help for gevd (if installed)