gevrMultScore: GEVr Multiplier Score Test

In eva: Extreme Value Analysis with Goodness-of-Fit Testing

Description

Fast weighted bootstrap alternative to the parametric bootstrap procedure for the GEVr score test.

Usage

gevrMultScore(data, bootnum, information = c("expected", "observed"))

Arguments

data	Data should be contain n rows, each a GEVr observation.
bootnum	Number of bootstrap replicates.
information	To use expected (default) or observed information in the test.

Details

GEVr data (in matrix x) should be of the form x[i,1] > x[i, 2] > \cdots > x[i, r] for each observation i = 1, …, n.

Value

statistic	Test statistic.
p.value	P-value for the test.
theta	Value of theta used in the test.

References

Bader B., Yan J., & Zhang X. (2015). Automated Selection of r for the r Largest Order Statistics Approach with Adjustment for Sequential Testing. Department of Statistics, University of Connecticut.

Examples

x <- rgevr(500, 5, loc = 0.5, scale = 1, shape = 0.3)
result <- gevrMultScore(x, bootnum = 1000)

eva documentation built on Jan. 13, 2021, 8:34 p.m.