negloglikgpd.m

来自「极值理论中各种函数及图像的程序。matlab实现。」· M 代码 · 共 16 行

function f=negloglikgpd(theta,excess),
    xi = theta(1);
    
    beta = theta(2);
	
    cond1 = beta <= 0;
    cond2 = (xi <= 0) & (max(excess) > ( - beta/xi));
    if(cond1 | cond2)
		f=inf;
    else
        y = log(1 + (xi * excess)./beta);
		y = y./xi;
		f = length(excess) * log(beta) + (1 + xi) * sum(y);
    end