qpot: Quantile function

In ercv: Fitting Tails by the Empirical Residual Coefficient of Variation

Description

Quantile function from the peaks-over-threshold model.

Usage

qpot(p, pars, lower.tail=TRUE, log.p=FALSE)

Arguments

p	vector of probabilities.
pars	a numeric vector with the set of parameters of peaks-over-threshold model. The names of the elements have to be evi, psi, threshold, prob.
lower.tail	logical; if TRUE (default), probabilities are P[X ≤q x] otherwise, P[X > x].
log.p	logical; if TRUE probabilities are given as log(p).

Value

Quantile function as a numerical value.

Author(s)

Joan del Castillo, David Moriña Soler and Isabel Serra

References

del Castillo, J. and Padilla, M. (2016). Modeling extreme values by the residual coefficient of variation. SORT Statist. Oper. Res. Trans. 40(2), 303-320.

del Castillo, J. and Serra, I. (2015). Likelihood inference for Generalized Pareto Distribution. Computational Statistics and Data Analysis, 83, 116-128.

del Castillo, J., Daoudi, J. and Lockhart, R. (2014). Methods to Distinguish Between Polynomial and Exponential Tails. Scandinavian Journal of Statistics, 41, 382-393.

See Also

ercv-package, cievi, ccdfplot, cvevi, cvplot, evicv, fitpot, ppot, tdata, thrselect, Tm

Examples

qpot(0.1, c(evi=0.1, psi=0.2, threshold=0.3, prob=0.4), lower.tail=FALSE)

x<-runif(10000)
x<-c(x^-1,x)
pars<-fitpot(x,1)
qpot(0.5/10,pars$coeff,lower.tail=FALSE) #the true value is 10

ercv documentation built on Oct. 30, 2019, 9:49 a.m.