# confint: Generic Function to Compute (Profile) Confidence Intervals In POT: Generalized Pareto Distribution and Peaks Over Threshold

 confint.uvpot R Documentation

## Generic Function to Compute (Profile) Confidence Intervals

### Description

Compute (profile) confidence intervals for the scale, shape GPD parameters and also for GPD quantiles.

### Usage

```## S3 method for class 'uvpot'
confint(object, parm, level = 0.95, ..., range, prob,
prof = TRUE)
```

### Arguments

 `object` `R` object given by function `fitgpd`. `parm` Charater string specifies for which variable confidence intervals are computed. One of `"quant"`, `"scale"` or `"shape"`. `level` Numeric. The confidence level. `...` Optional parameters. See details. `range` Vector of dimension two. It gives the lower and upper bound on which the profile likelihood is performed. Only required when "prof = TRUE". `prob` The probability of non exceedance. `prof` Logical. If `TRUE` (the default), profile confidence intervals are computed. Otherwise, it is Fisher ones.

### Details

Additional options can be passed using "..." in the function call. Possibilites are related to the specific functions: `link{gpd.fiscale}`, `link{gpd.fishape}`, `link{gpd.firl}`, `link{gpd.pfscale}`, `link{gpd.pfshape}`, `link{gpd.pfrl}`.

### Value

Returns a vector of the lower and upper bound for the (profile) confidence interval. Moreover, a graphic of the profile likelihood function is displayed when `prof = TRUE`.

### Author(s)

Mathieu Ribatet

`link{gpd.fiscale}`, `link{gpd.fishape}`, `link{gpd.firl}`, `link{gpd.pfscale}`, `link{gpd.pfshape}` and `link{gpd.pfrl}`

### Examples

```x <- rgpd(100, 0, 1, 0.25)
fmle <- fitgpd(x, 0)
confint(fmle, prob = 0.2)
confint(fmle, parm = "shape")
```

POT documentation built on April 14, 2022, 5:07 p.m.