Calculate Return Levels Based on GEV Fit

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Description

Calculates the k-block return level and 95% confidence interval based on a GEV model for block maxima, where k is specified by the user. The k-block return level is that level exceeded once every k blocks, on average.

Usage

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rlevel.gev(out, k.blocks = 20, add = FALSE, ...)

Arguments

out

an object returned by the function gev

k.blocks

specifies the particular return level to be estimated; default set arbitrarily to 20

add

whether the return level should be added graphically to a time series plot; if FALSE a graph of the profile likelihood curve showing the return level and its confidence interval is produced

...

other graphics parameters

Details

The GEV likelihood is reparameterized in terms of the unknown return level and profile likelihood arguments are used to construct a confidence interval.

Value

Vector containing lower 95% bound of confidence interval, estimated return level and upper 95% bound.

See Also

gev, plot.gev

Examples

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data(bmw)
out <- gev(bmw, "month")
# Fit GEV to monthly maxima of daily returns on BMW share price
## Not run: rlevel.gev(out, 40)
# Calculate the 40 month return level