spot.py 文件源码

def _log_likelihood(Y,gamma,sigma):
        """
        Compute the log-likelihood for the Generalized Pareto Distribution (?=0)

        Parameters
        ----------
        Y : numpy.array
            observations
        gamma : float
            GPD index parameter
        sigma : float
            GPD scale parameter (>0)   

        Returns
        ----------
        float
            log-likelihood of the sample Y to be drawn from a GPD(?,?,?=0)
        """
        n = Y.size
        if gamma != 0:
            tau = gamma/sigma
            L = -n * log(sigma) - ( 1 + (1/gamma) ) * ( np.log(1+tau*Y) ).sum()
        else:
            L = n * ( 1 + log(Y.mean()) )
        return L