Gumbel regression
Gumbel regression.
gumbel.reg(y, x, tol = 1e-07, maxiters = 100)
y |
The dependent variable, a numerical vector with real valued numbers. |
x |
A matrix or a data.frame with the indendent variables. |
tol |
The tolerance value required by the Newton-Raphson to stop. |
maxiters |
The maximum iterations allowed. |
A Gumbel regression model is fitted. the standard errors of the regressions are not returned as we do not compute the full Hessian matrix at each step of the Newton-Raphson.
A list including:
be |
The regression coefficients. |
sigma |
The scale parameter. |
loglik |
The loglikelihood of the regression model. |
iters |
The iterations required by the Newton-Raphson. |
Michail Tsagris
R implementation and documentation: Michail Tsagris mtsagris@uoc.gr.
y <- rnorm(100) x <- matrix(rnorm(100 * 3), ncol = 3) mod <- gumbel.reg(y, x)
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