confint: Generic Function to Compute (Profile) Confidence Intervals

Description Usage Arguments Details Value Author(s) See Also Examples

Description

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

Usage

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## 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

See Also

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

Examples

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

Example output

If there is some troubles try to put vert.lines = FALSE or change
 the range...
 conf.inf  conf.sup 
0.2062064 0.3685047 
If there is some troubles try to put vert.lines = FALSE or change
 the range...
  conf.inf   conf.sup 
-0.1097566         NA 
Warning message:
In min(index.neg2) : no non-missing arguments to min; returning Inf

POT documentation built on May 2, 2019, 7:30 a.m.