This is the command gbhill that can be run in the OnWorks free hosting provider using one of our multiple free online workstations such as Ubuntu Online, Fedora Online, Windows online emulator or MAC OS online emulator
PROGRAM:
NAME
gbhill - Hill Maximum Likelihhod estimation
SYNOPSIS
gbhill [options] <function definition>
DESCRIPTION
Maximum Likelihood estimation of distribution based on extremal (tail) observations. The
distributions included are: exponential, pareto1, pareto3, gaussian. Provide the name of
the distribution and the initial values of the parameters in the command line.
OPTIONS
-O type of output (default 0)
0 parameters and min NLL
1 parameters and errors
2 the distribution function
3 the density function
4 transformed observations: uniform in [0.1] under the null
5 Renyi residuals: iid uniform in [0.1] under the null
-M method used (default 0)
0 unconditional, upper tail
1 threshold, upper tail
2 unconditional, lower tail
3 threshold, lower tail
-V variance matrix estimation (default2)
0 < J^{-1} >
1 < H^{-1} >
2 < H^{-1} J H^{-1} >
-v verbosity level (default0)
0 just results
1 comment headers
2 summary statistics
3+ minimization steps
-a print entire set for -O 1,2
-u observations or threshold (default 1)
-F input fields separators (default " \t")
-h this help
-A comma separated MLL optimization options step,tol,iter,eps,msize, algo. Use empty
fields for default (default 0.01,0.01,100,1e-6,1e-6,5)
step initial step size of the searching algorithm
tol line search tolerance iter: maximum number of iterations
eps gradient tolerance : stopping criteria ||gradient||<eps
algo optimization methods: 0 Fletcher-Reeves, 1 Polak-Ribiere, 2
Broyden-Fletcher-Goldfarb-Shanno, 3 Steepest descent, 4 simplex, 5
Broyden-Fletcher-Goldfarb-Shanno2.
EXAMPLES
gbhill pareto1 1 1 < file.dat
estimate the Pareto type 1 distribution, initial values are gamma=1 and b=1
gbhill -u .2 pareto1 1 1 < file.dat
the same using only top 20% observations
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