Man page - gbhill(1)
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apt-get install gbutils
Manual
GBHILL
NAMESYNOPSIS
DESCRIPTION
OPTIONS
EXAMPLES
AUTHOR
REPORTING BUGS
COPYRIGHT
NAME
gbhill - Hill Maximum Likelihhod estimation
SYNOPSIS
gbhill [ options ] <function definition>
DESCRIPTION
Maximum Likelihood estimation of distribution based on extremal (tail) observations. The distributions included are: exponential, pareto1, pareto3, gaussian. Provide the name of the distribution and the initial values of the parameters in the command line.
OPTIONS
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-O |
type of output (default 0) |
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0 |
parameters and min NLL |
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1 |
parameters and errors |
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2 |
the distribution function |
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3 |
the density function |
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4 |
transformed observations: uniform in [0.1] under the null |
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5 |
log Renyi residuals: iid uniform in [0.1] under the null |
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6 |
Renyi residuals: iid exponential with mean 1 under the null |
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-M |
method used (default 0) |
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0 |
unconditional, upper tail |
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1 |
threshold, upper tail |
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2 |
unconditional, lower tail |
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3 |
threshold, lower tail |
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-V |
variance matrix estimation (default2) |
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0 |
< Jˆ{-1} > |
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1 |
< Hˆ{-1} > |
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2 |
< Hˆ{-1} J Hˆ{-1} > |
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-v |
verbosity level (default0) |
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0 |
just results |
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1 |
comment headers |
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2 |
summary statistics |
3+ minimization steps
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-a |
print entire set for -O 1,2 |
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-u |
observations or threshold (default 1) |
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-F |
input fields separators (default " \t") |
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-h |
this help |
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-A |
comma separated MLL optimization options step,tol,iter,eps,msize, algo. Use empty fields for default (default 0.01,0.01,100,1e-6,1e-6,5) |
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step |
initial step size of the searching algorithm |
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tol |
line search tolerance iter: maximum number of iterations |
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eps |
gradient tolerance : stopping criteria ||gradient||<eps |
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algo |
optimization methods: 0 Fletcher-Reeves, 1 Polak-Ribiere, 2 Broyden-Fletcher-Goldfarb-Shanno, 3 Steepest descent, 4 simplex, 5 Broyden-Fletcher-Goldfarb-Shanno2. |
EXAMPLES
gbhill pareto1 1 1 < file.dat
estimate the Pareto type 1 distribution, initial values are gamma=1 and b=1
gbhill -u .2 pareto1 1 1 < file.dat
the same using only top 20% observations
AUTHOR
Written by Giulio Bottazzi
REPORTING BUGS
Report bugs to <gbutils@googlegroups.com>
Package home page <http://cafim.sssup.it/˜giulio/software/gbutils/index.html>
COPYRIGHT
Copyright © 2001-2018 Giulio Bottazzi This program is free software; you can redistribute it and/or modify it under the terms of the GNU General Public License (version 2) as published by the Free Software Foundation;
This program is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more details.