[Octave-bug-tracker] [bug #47369] statistics: gevfit malfunctioning (because of fminunc failure)

[Nir Krakauer]

Follow-up Comment #3, bug #47369 (project octave):

Hi Muhali-- I agree with Arno that it's preferable to stick to functions in
core Octave as much as possible so that Statistics doesn't require other Forge
packages. It is to be expected that any optimization algorithm used in gevfit
could fail to converge in some cases, because the objective function is quite
nonlinear. Whether the optimization converges to a likelihood maximum or not
for particular data typically depends on the initial value, which can be
user-supplied or determined automatically.

In response to your problem, I improved the automatically estimated initial
value so that gevfit (in the repository) now converges properly for your
example with automatic choice of initial value (p = gevfit(x);). p = gevfit(x,
[0 1 0]); will still not converge, but now there is a warning that the
optimization didn't work.

Best, Nir

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