trans2GEV: Transformation to GEV Distribution
In ExtremalDep: Extremal Dependence Models

trans2GEV

R Documentation

Transformation to GEV Distribution

Description

Transforms marginal distributions from unit Frechet to the GEV scale.

Usage

trans2GEV(data, pars)

Arguments

`data`	A vector of length `n` or a `(n \times p)` matrix representing the data on its original scale.
`pars`	A `(1 \times 3)` vector or a `(p \times 3)` matrix of marginal GEV parameters.

Details

The transformation is given by (x^\xi - 1)\frac{\sigma}{\xi} + \mu if \xi \neq 0, and by \sigma / x + \mu if \xi = 0.

Value

An object of the same format and dimensions as data.

Author(s)

Simone Padoan, simone.padoan@unibocconi.it, https://faculty.unibocconi.it/simonepadoan/; Boris Beranger, borisberanger@gmail.com, https://www.borisberanger.com;

Examples

data(pollution)

pars <- fGEV(Leeds.frechet[,1])$est

par_new <- c(2, 1.5, 0.5)
data_new <- trans2GEV(Leeds.frechet[,1], pars = par_new)

fGEV(data_new)

ExtremalDep documentation built on Aug. 21, 2025, 5:57 p.m.