matlab code for MLE gpfit
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Hi, does anybody know where I could find the formulas the matlab code is using in the function gpfit (generalized pareto fit) which returns MLE estimates? The MLE solve a system which doesn't have explicit solutions, so more numerical techniques have been proposed and I would like to know what numerical scheme matlab is using for gpfit and some reference. thank you.
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Tom Lane
2012-4-10
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If you "edit gpfit" you can see the code. You'll also see some literature references. The code appears to be using the method of moments just to locate starting values, then using the optimizer fminsearch to find the maximum likelihood estimates.
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