[R] R: extreme value theory

From: Clark Allan <Allan_at_STATS.uct.ac.za>
Date: Wed 14 Dec 2005 - 21:18:10 EST


hi all

i have a simple question about the gev dist and ?gevFit from the fExtremes package.

does the function ever give a negative tail index?

i am reading the text by ruey tsay (chapter 7). the data is included below. the parameter estimates (using gevFit) are all more or less the same as the text but the tail parameter has the opposite sign. (in text they are neg and from R they are positive)

am i missing something???

thanking you in advance
/
allan

daily returns series from 1962 - 1998

ibm

  0.4280

-0.4280
-1.4390
1.5110 2.3980 4.2630 1.2270
-0.7290
1.6470
-3.2880
-1.3260
0.6140 1.2170 0.2690
-2.6490
1.1630 0.5430 1.7100 3.0140
-0.0970
-2.8170
2.4940
-0.1940
-1.3080
-1.5920
2.2510
-1.3850
-0.1990
0.7950 1.8960 0.1300
-0.0650
0.8370 1.0850
-0.2540
4.0540 0.3660
-0.3660
-0.2440
-3.6190
-0.6370
-0.8340
2.1680
-2.2330
-1.1680
1.2970
-1.4930
0.5220
-0.5880
0.4240
-0.0330
1.2310 1.7240
-0.7620
-1.4780
-0.9100
-1.5800
-3.9940
1.9830
-3.7950
-1.5590
0.9950
-3.7840
2.8960
-0.5360
2.6190 0.6970
-0.1390
1.7910
-1.9640
-0.8740
-0.2110
3.2540
-2.6230
1.1130
-1.7790
-1.9910
-1.4830
-3.8640
2.9850
-0.4420
-2.0900
3.8470 2.0820
-1.6490
1.7190 1.4800 1.3900
-0.0690
-1.6750
1.6750 3.3350
-1.8240
2.0910
-0.5350
1.5980
-1.7320
1.1690 0.2320 2.8100 0.1930 1.5310 0.6950 0.8770
-0.6250
-1.7730
2.2100
-0.3760
-0.0630
-0.2510
-2.1610
-0.3870
1.6000
-1.4710
0.3860
-1.1620
-0.7170
2.5500 0.0000
-1.7690
2.2460
-0.0630
-0.7000
0.3830
-0.6390
-1.3550
3.0080 0.1260
-0.8220
2.4460 0.0620 0.6790 0.3080 1.5810 0.1810
-1.5780
1.2770
-0.3020
0.3630 0.1810
-0.1210
0.4210 0.5990 1.4240
-0.6500
-0.5340
1.0080 0.0000
-0.8290
0.4150
-0.6550
0.1790 0.2390
-0.5370
0.1800
-0.2390
0.0600 0.2390
-0.2090
-0.8110
-0.8480
-0.1820
-1.5350
0.6790
-0.3700
-1.3660
-0.6270
1.5610
-0.4350
0.7750 0.9520
-0.0610
-0.0610
-0.0610
0.1840 0.3060 0.7900
-0.9110
0.1220 0.9710
-0.6660
0.7260
-0.1810
0.6630 1.1350
-0.0590
0.0590 0.0000
-0.8340
1.1320 1.7900 2.7820 1.5990
-0.9790
-0.5350
0.8720
-0.0560
-0.7320
-0.5090
0.0000 2.1340 1.5440 0.8710 0.3240 0.3500 1.2580
-0.3200
-1.0190
0.2700 0.8030
-0.6950
-1.5690
0.6530 2.0960 0.1060 0.9510
-0.7920
-0.1590
0.3180
-0.4250
-0.6400
-0.9140
0.9140
-0.2140
-0.3230
-0.3240
-1.0860
0.4360 2.1510 1.5310
-0.8420
0.1580
-0.8480
0.0000
-0.3730
-1.2890
0.5930 0.6970
-1.0190
-0.0540
-0.8670
-0.1630
-0.3280
-0.4930
0.1650
-1.4370
-0.5020
-1.8070
-1.0310
0.4600
-2.2600
2.7750 0.7380 0.7330
-2.0430
1.1120
-0.8830
-0.6880
-0.5780
0.2320 0.6340
-0.5180
-0.8110
-0.0580
-0.2910
-0.2920
0.4090 0.1170 0.5810 0.3470 2.2830
-1.9380
0.1150
-0.6920
1.3220 1.1360
-1.0530
0.4280 1.0200 0.4500 1.9450 0.6030
-0.6580
-0.3310
-0.1100
-1.2240
0.5030 0.8330
-0.8880
0.3330
-1.7940
0.3380
-0.2250
0.5070 0.6160 0.1120 0.5560 1.7600
-0.4370
0.3280
-0.2180
-0.1090
-0.2190
-0.1100
0.0270
-1.1320
0.9400 0.4940
-0.4390
1.7450
-0.9780
-1.7060
-0.3900
0.7770
-0.4990
-0.1110
1.7100 0.9800 1.7180
-1.5020
0.0000 0.6470 0.7490 1.4820 0.4190 2.5310 0.4070 0.5070
-0.1520
-1.6320
-0.6190
0.4130 1.7380 0.7570
-1.2140
-1.4350
1.9930
-1.1190
-0.6670
-0.8290
0.3130 0.6210 0.5150 0.2050 0.3070
-0.5120
-0.4120
-0.9320
-1.7320
-0.0530
-1.7100
0.2690 1.2820 1.4220 1.5060 1.3810
-0.5090
-1.3370
0.9280
-0.6170
-0.1030
-0.6220
-0.2080
-0.9950
0.0000 0.1580 1.5640 0.0000
-0.1030
0.1040
-0.1030
0.3110 1.2300 0.6100 1.1080 1.5900 1.9530
-1.3630
0.2940
-0.6860
0.9790 2.9760 0.8470 0.5610
-0.1870
4.7460
-1.9800
0.5440
-0.1810
-1.8290
0.9190 0.4560
-0.6390
-1.1050
-1.1170
-1.8910
0.9490 2.4270
-0.1850
-0.0460
-0.6510
0.0000 0.1870 0.5570 0.3690 0.7350 1.4540 0.2710
-0.4510
0.1810 0.0000 0.2710 0.2250 2.3520 0.9600
-1.5760
0.4400
-0.7940
-0.0890
-1.0700
0.8030 0.9730 0.0000 0.0880 1.1800 1.6810 0.5960
-0.6820
-0.1710
-0.6450
-0.4320
-0.4770
0.9520 0.3440 0.7700 0.3400 0.0850 0.8870 0.1680 0.4610 0.0840
-0.2510
-1.4770
-0.6390
0.1280 1.9460
-1.0950
-0.7230
-0.3420
-0.3000
0.5560
-0.6000
1.3660 0.6760
-1.6980
-0.1710
-0.3440
0.4290
-1.2070
-1.0900
1.6090 0.7740 0.1280
-0.1280
-0.1280
0.2140
-0.0860
0.4270 0.1280
-0.4690
0.5120 0.6360 1.0510 1.5060 0.7700 0.4080
-1.2810
-0.3100
-1.1480
0.7320
-1.4160
0.4740
-1.1640
-1.7710
0.4860
-0.6490
1.9330
-0.6400
0.4270 0.7430 0.7380 0.6810 0.5720
-0.9380
0.4180 0.2610
-0.4170
0.5210
-0.0520
-0.6260
-0.1570
-0.0520
0.8350 0.6220 0.8230 0.6130
-0.4080
-0.2560
-1.0820
-0.2070
-1.9930
1.0530 0.4180 0.0000
-1.0490
-0.3700
-0.1590
-0.3190
-1.3390
-0.4860
-0.2170
0.8920
-0.6750
0.1080
-0.4880
-3.1490
1.5080
-1.3960
0.9510 0.0000
-0.7830
0.6710 0.8880
-1.2220
0.1120 0.0560
-0.9540
-2.1650
1.1450
-0.8870
-1.5350
-0.1750
0.5250 1.7860 0.6260 0.1140 0.2270 0.5080
-0.0280
-0.8770
-1.1430
-2.1180
-0.2050
-3.1660
1.0860 2.4020 1.7140
-1.9780
0.2350
-0.2340
1.0520 0.4640 1.5510
-0.8010
0.5160
-0.2290
-0.4020
-0.4040
-0.6370
-1.2280
0.1180 0.7030 0.5810
-0.6980
-1.6500
0.2380 0.8260 1.2850
-0.6980
-0.8800
0.0590
-0.3540
-0.3850
-1.5250
0.3600 0.5980 0.3570
-0.1190
-0.4180
0.0000 0.4190
-0.0600
0.1190 0.0000 0.0000 0.1190 1.5960 1.3400
-0.2310
-2.3470
0.0000 1.1220
-0.6480
-0.9510
-0.4780
-0.1200
-0.9650
-1.2190
0.1230 1.0970 1.0850
-0.1200
-2.0620
-0.2140
0.4600 1.0340
-0.5450
-0.0910
0.0910 0.4860 0.4830 0.0000
-0.2410
-0.7280
0.6060
-0.1810
-0.5460
0.1830
-0.4270
-1.0740
-0.2470
1.1380 2.1780 1.7200
-0.6490
0.2370 0.1770 0.9390 1.5650 1.2570 0.8480
-0.0560
-0.1690
0.8430
-0.2800
-0.5060
1.1770 0.1110
-0.1110
-0.6710
0.1120
-0.5070
1.4590
-0.7270
-1.0150
1.2390
-1.5800
0.1140 0.1990
-1.8020
-0.6950
0.5790 2.5110 0.8980 0.1120 0.3340 1.1060 0.2750
-0.1100
0.1650
-0.5500
-1.0530
0.7210 0.4970 1.3120
-0.7090
0.5460 1.0820 0.5900
-0.6980
-0.2160
0.3230
-0.3240
0.1080
-0.4860
-0.4890
-0.6560
-1.5470
1.2730 0.0000
-0.1100
0.3290 0.3830 0.4360
-0.6550
-0.1100
0.4380 2.5860
-0.1060
0.5310 0.1060
-0.1060
1.4720
-0.1040
-0.4190
0.6280 0.1560
-0.2600
0.0000 0.0000 0.2090 1.0370
-0.3090
0.5160 0.1030 1.0260
-1.0250
-1.2450
0.2090 1.0110
-0.1800
-0.5180
-1.4650
0.3160 0.4190
-1.0520
-0.8500
-1.9380
2.3630
-0.8530
-0.1070
2.4350
-2.0070
1.3770
-0.8460
0.7400
-0.0530
-1.2190
-2.1570
-1.2070
0.3850
-0.6070
1.3740
-0.2730
1.2500
-0.0540
-0.4330
-0.4350
-0.2180
-0.4380
-1.9400
-0.9560
1.6810 1.7620 0.6530 0.7560
-0.8100
-0.5990
1.9460 0.5870
-0.5870
-0.2140
0.9080 0.3180 0.5810 0.0000
-1.7810
-0.6720
-0.4330
1.0790
-0.0540
-0.3770
1.6030 0.8440 0.7330
-0.5760
1.0700 1.0110
-0.6720
0.4140 0.1030
-0.3100
0.3110 1.1300 0.6110
-0.0510
-0.3050
0.4070
-0.5600
0.4070 0.6080 1.3550
-0.5500
0.0500 0.2500
-0.0500
-0.2500
0.2000 0.3490 0.4470
-0.1490
-0.2480
0.4470
-0.0990
1.4290
-0.2940
-0.0490
0.5390 0.5360
-0.5350
0.4870 0.3880
-0.1940
-0.6810
0.6820
-0.4860
-0.2920
0.1960
-1.0790
0.4430 0.4410 0.3900
-0.4880
0.7800 0.7740
-0.8220
0.2430
-0.1940
0.5330 0.5300 0.2400 1.0960 0.0000 0.2840
-0.2840
-0.6660
1.2320 0.1890 0.2820 0.2810 0.3510 0.4900
-0.1860
0.3720
-1.1200
0.1410 0.2340 0.6530 0.0930 0.7860 0.5970
-0.6430
0.0000
-0.3700
-0.9290
0.0000 0.0000
-1.4110
-0.5700
-1.7290
-2.8500
0.9920
-0.8920
1.2870 0.5880 0.8280 0.4350
-0.2900
-1.9550
-2.2960
0.8050
-0.1000
0.6500 0.9920
-0.1970
-1.3440
0.2000 0.4490
-0.8500
0.4010
-0.2000
-1.1080
-0.3040
0.6590 0.5530
-0.0500
-0.3010
0.3020
-0.4530
0.6030
-0.5030
-0.7090
-1.8440
-1.0390
1.0400 1.5390 0.6090 2.8930
-0.4930
-0.6940
-1.1010
-0.2010
-0.8090
-0.4080
1.2680 0.2520 0.9500 1.4570 0.8090 0.9230 1.4880
-1.0050
-1.2100
0.9690
-0.7990
-0.3170
-0.4890
-0.5900
-0.0990
1.0800 0.5840
-1.9610
-1.0950
0.7480 0.2480
-1.3980
-0.1010
1.8930
-0.5940
-0.6970
-0.0500
-0.2500
0.7990
-0.4990
-0.2000
1.9840 0.5870 0.0000 0.9720 1.5350
-0.8130
-0.3370
-1.5530
0.9730 0.9640 0.5740 0.9490 0.3770 1.6810 1.8580
-2.0430
0.6470 3.2200
-1.3020
-1.0910
-0.3670
0.5480 1.2690 0.0000
-2.5550
2.5550 1.0750
-1.0760
0.4490 0.4470
-0.4920
-1.5820
-1.9330
-1.4040
-1.9510
0.8140 1.2790
-1.3740
-0.9590
0.1930
-0.6750
2.4860 2.5520
-0.3810
1.9900 1.6440
-0.5370
0.1350
-0.1350
-2.2490
-2.1590
-1.8570
-1.0140
-1.9100
-0.8940
1.4860 2.9070 0.0000
-1.1530
0.2900
-1.0170
1.0520 3.0940 1.5290 0.1380
-0.2750
-1.6710
-0.2810
-1.3470
0.3560
-0.9650
0.6800 1.1350
-0.1410
1.0890 0.8690
-1.0440
-0.3510
0.1400
-1.5550
0.9570 1.0180 0.0000
-1.5480
-0.8550
1.5260
-0.1060
-1.9950
-0.1440
0.3590
-1.2280
-0.9490
-2.5640
0.1130 1.6400 1.7590
-0.3280
0.0360
-0.4820
-0.6630
0.6640 2.6830
-0.4300
-1.3010
-0.4380
-1.9190
0.0000
-1.9560
0.0760
-0.3810
-1.1500
-2.8540
-2.6120
3.7560 0.5470 0.0000
-0.1560
-0.8630
-0.7120
-1.8420
1.8420 1.7310
-0.4690
1.4010 3.4930
-1.6560
-0.1520
-2.1510
-2.1180
1.2220
-0.0390
2.3240 0.3060
-2.6290
-1.1830
0.7110
-2.1090
-0.4430
0.1620
-1.5440
-4.2240
5.5250
-1.3840
2.5890 1.2700
-0.3150
0.1580 2.6510
-2.3350
0.3150 1.0930 0.0000 0.8500 1.4520 1.0560 0.5610
-0.8630
2.3810 1.3150 0.1740 0.7240 0.7190 0.1430 0.8540
-0.1420
-0.7130
0.8540 1.6880
-0.4190
-0.5620
-1.9920
0.0000 2.2730 2.8380 1.1530 0.6730 0.8010
-1.5750
-0.8480
1.4210 0.9360 1.5180 0.3920
-1.7120
1.1880 0.3270
-0.1960
-2.2530
-0.4700
-0.3380
0.8080
-0.2680
-0.6740
-0.5420
-0.4770
0.3410 0.5440 0.6760
-0.6750
-1.0900
0.9540 2.5450 2.0940 0.7740 1.2770
-0.5090
1.1410
-3.0730
0.9060 0.7700
-0.3210
0.0640 1.9050 0.5020
-0.8800
0.2530 1.1280 0.7440
-1.2440
-1.6400
0.8870 0.6290 0.0250 0.0000 2.8480 1.0930 0.0000 1.4090 1.8000 1.2790
-1.5710
-0.3820
-0.2650
0.1180
-0.3550
0.5900
-2.1410
3.3100 2.2990 0.2840
-0.2830
0.0000
-0.2270
-0.5140
-0.0570
0.8550 0.1700
-1.3700
1.5960 1.7940 0.0560
-1.3980
0.1690
-0.0560
2.4450 1.2000
-0.6530
-0.2180
0.0550
-1.3760
-2.4690
0.2270 0.7910 2.0050
-1.5280
-1.3240
2.0770
-0.7810
2.1060 0.5470
-0.0550
0.4350 1.4560 0.3740
-0.1600
1.1160 1.6760
-0.3650
3.4840 0.0000
-0.2200
0.1040
-0.0520
-0.1040
-0.3110
-1.0990
-3.0440
1.0790 0.2680 0.0540
-0.7520
2.1320 0.2110 0.2110
-0.8440
0.0000 0.5810
-2.0750
1.7050
-0.6360
0.0000
-0.8010
2.0690
-1.4820
-0.7490
2.5450 0.5740 0.5710 0.6190 0.3090 0.8180 1.5650
-0.0500
0.1000
-0.3000
0.0000
-0.3010
0.1010 1.0010 1.5810
-1.2830
-0.8980
0.1000
-0.4010
0.3020 0.5490
-0.1000
0.0500 0.3980 0.4960
-0.5950
0.1990
-0.2480
0.1990
-0.2480
-1.3020
0.4020 0.1000
-0.6040
-0.9120
1.6660 1.1450 0.2970 0.2470 1.3200
-0.9770
-0.2940
0.2950 0.1670 0.2950
-1.1320
-1.8990
-0.7090
-0.5090
0.1020 0.9140
-0.5070
1.1120 0.1010
-0.8060
0.4040
-0.9110
-1.1770
-0.0510
1.1270 0.4060 1.3600 0.0500 0.3990 0.4970
-0.3480
0.2490 1.7700 0.7770 0.0000
-1.1680
0.0000 0.4880 0.7760
-0.6780
5.0270 0.3690 1.9170
-1.3650
0.4110 0.4550
-0.3640
-1.0080
1.1450 0.0000 0.7260 2.6760 0.6140
-0.2620
1.7390 0.0000 1.0290
-0.5130
-1.2080
1.5510 1.1050 0.9670
-1.1360
-0.0850
-0.1690
0.8870 0.5460
-0.1670
-0.5040
-1.5710
-0.3000
-0.2400
0.1720
-0.7780
0.5190 1.2860 0.5100
-0.5090
1.3540 2.4900 0.9790
-2.6310
2.9560
-0.8940
0.2450 0.4880
-0.4870
0.0000
-0.3270
0.6520 2.2480
-0.1590
0.5940 1.1390 0.7010 0.1550
-0.6990
0.3890 0.6970
-1.6730
-3.0680
-0.0810
1.2080
-0.4410
-1.4160
0.4880 1.3700
-0.0800
0.3990
-2.1770
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