trans2GEV: Transformation to GEV distribution

In ExtremalDep: Extremal Dependence Models

Transformation to GEV distribution

Description

Transformation of marginal distribution from unit Frechet to GEV

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 function is \left(x^{\xi} -1 \right) \frac{\sigma}{\xi}+\mu if \xi\neq 0, and x^{-1}\sigma+\mu if \xi=0.

Value

An object of the same format and dimensions as data.

Author(s)

Simone Padoan, [e-mail], https://faculty.unibocconi.it/simonepadoan/; Boris Beranger, [e-mail] https://www.borisberanger.com;

See Also

trans2UFrechet

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 Sept. 26, 2023, 1:06 a.m.