ISmGeneralizedExtremeValueDistribution.MLESettings

Syntax

Description

The MLESettings property determines parameters of the maximum likelihood method.

Comments

The maximum likelihood method is used to estimate unknown parameters.

Example

To execute the example add links to the Stat system assembly.

Sub UserProc;
Var
    distr: ISmGeneralizedExtremeValueDistribution;
    i: Integer;
    Values: Array Of Double;
    cnt: Integer = 10;
Begin
    distr := New SmGeneralizedExtremeValueDistribution.Create;
    // set distribution parameters:
    distr.Location := 0.1;
    distr.Scale := 0.1;
    distr.Shape := 0.1;
    // Generating random series:
    Values := distr.RandomVector(cnt);
    // set maximum number of iterations:
    distr.MLESettings.MaxIterations := 10;
    // set accuracy of solution:
    distr.MLESettings.Tolerance := 0.000000001;
    // autoselection of parameters of distribution using the LRS method (Linear Ratio of Spacings):
    distr.LRSFitting(Values);
    // estimation of parameters using method of maximum likelihood:
    distr.MaximumLikelihoodFitting(Values);
    // displaying error messages
    Debug.WriteLine(distr.Errors);
    // displaying parameters of shift, scale, form:
    Debug.WriteLine(distr.Name + "(" + distr.Location.ToString + "," + distr.Scale.ToString + "," + distr.Shape.ToString + ")");
    Debug.WriteLine("Generated series:");
    Debug.Indent;
    For i := 0 To Cnt - 1 Do
        Debug.Write(i.ToString + " ");
        Debug.WriteLine(Values[i].ToString);
    End For;
    Debug.Unindent;
End Sub UserProc;

After executing the example the sample of pseudo-random values is generated, that have the GEV distribution (0,1; 0,1; 0,1).