ISmGeneralizedParetoDistribution.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 a link to the Stat system assembly.

Sub UserProc;
Var
    distr: ISmGeneralizedParetoDistribution;
    i: Integer;
    Values: Array Of Double;
    cnt: Integer = 10;
Begin
    distr := New SmGeneralizedParetoDistribution.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;
    // 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;

Executing the example generates the sample of pseudo-random values, that have the GPD distribution (0,1; 0,1; 0,1).