fisherconf: Fisher Based Confidence Interval for the GP Distribution

In POT: Generalized Pareto Distribution and Peaks Over Threshold

Fisher Based Confidence Interval for the GP Distribution

Description

Compute Fisher based confidence intervals on parameter and return level for the GP distribution. This is achieved through asymptotic theory and the Observed information matrix of Fisher and eventually the Delta method.

Usage

gpd.fishape(object, conf = 0.95)
gpd.fiscale(object, conf = 0.95)
gpd.firl(object, prob, conf = 0.95)

Arguments

object	R object given by function fitgpd.
prob	The probability of non exceedance.
conf	Numeric. The confidence level.

Value

Returns a vector of the lower and upper bound for the confidence interval.

Author(s)

Mathieu Ribatet

See Also

rp2prob, prob2rp, gpd.pfscale, gpd.pfshape, gpd.pfrl and confint

Examples

data(ardieres)
ardieres <- clust(ardieres, 4, 10 / 365, clust.max = TRUE)
f1 <- fitgpd(ardieres[,"obs"], 5, 'mle')
gpd.fishape(f1)
gpd.fiscale(f1)

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