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#############################################################################
# Copyright (c) 2014 Mathieu Ribatet
#
# This program is free software; you can redistribute it and/or modify
# it under the terms of the GNU General Public License as published by
# the Free Software Foundation; either version 2 of the License, or
# (at your option) any later version.
#
# This program is distributed in the hope that it will be useful,
# but WITHOUT ANY WARRANTY; without even the implied warranty of
# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
# GNU General Public License for more details.
#
# You should have received a copy of the GNU General Public License
# along with this program; if not, write to the
# Free Software Foundation, Inc.,
# 59 Temple Place, Suite 330, Boston, MA 02111-1307, USA
#
#############################################################################
##A function to transform GPD observations to a unit Frechet scale
gpd2frech <- function(x, loc = 0, scale = 1, shape = 0, pat = 1){
z <- pgpd(x, loc, scale, shape, lower.tail = FALSE)
z <- -1 / log(1 - pat * z)
return(z)
}
##A function to transform unit Frechet observations to GPD ones
frech2gpd <- function(z, loc = 0, scale = 1, shape = 0, pat = 1){
##First, convert to uniform(0,1)
x <- exp(-1/z) / pat
x <- qgpd(x, loc, scale, shape)
return(x)
}
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