Calculates log return probability and standard error given a return value of interest

Description

Calculates log return probability given a return value of interest, using model fit from extRemes::fevd. Standard error is obtained via the delta method. The return probability is the probability of exceeding the return value in a single block. For non-stationary models (those that include covariates for the location, scale, and/or shape parameters, log probabilities and standard errors are returned for as many sets of covariates as provided.

Usage

1

Arguments

fit

fitted object from extRemes fevd

returnValue

value for which log return probability is desired

covariates

matrix of covariate values, each row a set of covariates for which the return probability is desired

Details

Results are calculated (and returned) on log scale as delta-method based standard errors are more accurate for the log probability. Confidence intervals on the probability scale should be calculated by calculating a confidence interval for the log probability and exponentiating the endpoints of the interval.