flognormgpd: MLE Fitting of log-normal Bulk and GPD Tail Extreme Value...

In evmix: Extreme Value Mixture Modelling, Threshold Estimation and Boundary Corrected Kernel Density Estimation

Description

Maximum likelihood estimation for fitting the extreme value mixture model with log-normal for bulk distribution upto the threshold and conditional GPD above threshold. With options for profile likelihood estimation for threshold and fixed threshold approach.

Usage

flognormgpd(x, phiu = TRUE, useq = NULL, fixedu = FALSE,
  pvector = NULL, std.err = TRUE, method = "BFGS",
  control = list(maxit = 10000), finitelik = TRUE, ...)

llognormgpd(x, lnmean = 0, lnsd = 1, u = qlnorm(0.9, lnmean, lnsd),
  sigmau = sqrt(lnmean) * lnsd, xi = 0, phiu = TRUE, log = TRUE)

nllognormgpd(pvector, x, phiu = TRUE, finitelik = FALSE)

proflulognormgpd(u, pvector, x, phiu = TRUE, method = "BFGS",
  control = list(maxit = 10000), finitelik = TRUE, ...)

nlulognormgpd(pvector, u, x, phiu = TRUE, finitelik = FALSE)

Arguments

x	vector of sample data
phiu	probability of being above threshold (0, 1) or logical, see Details in help for fnormgpd
useq	vector of thresholds (or scalar) to be considered in profile likelihood or NULL for no profile likelihood
fixedu	logical, should threshold be fixed (at either scalar value in useq, or estimated from maximum of profile likelihood evaluated at sequence of thresholds in useq)
pvector	vector of initial values of parameters or NULL for default values, see below
std.err	logical, should standard errors be calculated
method	optimisation method (see optim)
control	optimisation control list (see optim)
finitelik	logical, should log-likelihood return finite value for invalid parameters
...	optional inputs passed to optim
lnmean	scalar mean on log scale
lnsd	scalar standard deviation on log scale (positive)
u	scalar threshold value
sigmau	scalar scale parameter (positive)
xi	scalar shape parameter
log	logical, if TRUE then log-likelihood rather than likelihood is output

Details

The extreme value mixture model with log-normal bulk and GPD tail is fitted to the entire dataset using maximum likelihood estimation. The estimated parameters, variance-covariance matrix and their standard errors are automatically output.

See help for fnormgpd for details, type help fnormgpd. Only the different features are outlined below for brevity.

The full parameter vector is (lnmean, lnsd, u, sigmau, xi) if threshold is also estimated and (lnmean, lnsd, sigmau, xi) for profile likelihood or fixed threshold approach.

Non-positive data are ignored.

Value

Log-likelihood is given by llognormgpd and it's wrappers for negative log-likelihood from nllognormgpd and nlulognormgpd. Profile likelihood for single threshold given by proflulognormgpd. Fitting function flognormgpd returns a simple list with the following elements

call:	optim call
x:	data vector x
init:	pvector
fixedu:	fixed threshold, logical
useq:	threshold vector for profile likelihood or scalar for fixed threshold
nllhuseq:	profile negative log-likelihood at each threshold in useq
optim:	complete optim output
mle:	vector of MLE of parameters
cov:	variance-covariance matrix of MLE of parameters
se:	vector of standard errors of MLE of parameters
rate:	phiu to be consistent with evd
nllh:	minimum negative log-likelihood
n:	total sample size
lnmean:	MLE of log-normal mean
lnsd:	MLE of log-normal shape
u:	threshold (fixed or MLE)
sigmau:	MLE of GPD scale
xi:	MLE of GPD shape
phiu:	MLE of tail fraction (bulk model or parameterised approach)
se.phiu:	standard error of MLE of tail fraction

Acknowledgments

See Acknowledgments in fnormgpd, type help fnormgpd.

Note

When pvector=NULL then the initial values are:

• MLE of log-normal parameters assuming entire population is log-normal; and

• threshold 90% quantile (not relevant for profile likelihood for threshold or fixed threshold approaches);

• MLE of GPD parameters above threshold.

Author(s)

Yang Hu and Carl Scarrott [e-mail]

References

http://www.math.canterbury.ac.nz/~c.scarrott/evmix

http://en.wikipedia.org/wiki/Lognormal_distribution

http://en.wikipedia.org/wiki/Generalized_Pareto_distribution

Scarrott, C.J. and MacDonald, A. (2012). A review of extreme value threshold estimation and uncertainty quantification. REVSTAT - Statistical Journal 10(1), 33-59. Available from http://www.ine.pt/revstat/pdf/rs120102.pdf

Hu, Y. (2013). Extreme value mixture modelling: An R package and simulation study. MSc (Hons) thesis, University of Canterbury, New Zealand. http://ir.canterbury.ac.nz/simple-search?query=extreme&submit=Go

Solari, S. and Losada, M.A. (2004). A unified statistical model for hydrological variables including the selection of threshold for the peak over threshold method. Water Resources Research. 48, W10541.

See Also

dlnorm, fgpd and gpd

Other lognormgpd: flognormgpdcon, lognormgpdcon, lognormgpd

Other lognormgpdcon: flognormgpdcon, lognormgpdcon, lognormgpd

Other normgpd: fgng, fhpd, fitmnormgpd, fnormgpdcon, fnormgpd, gngcon, gng, hpdcon, hpd, itmnormgpd, lognormgpdcon, lognormgpd, normgpdcon, normgpd

Other flognormgpd: lognormgpd

Examples

## Not run: 
set.seed(1)
par(mfrow = c(2, 1))

x = rlnorm(1000)
xx = seq(-0.1, 10, 0.01)
y = dlnorm(xx)

# Bulk model based tail fraction
fit = flognormgpd(x)
hist(x, breaks = 100, freq = FALSE, xlim = c(-0.1, 10), ylim = c(0, 0.8))
lines(xx, y)
with(fit, lines(xx, dlognormgpd(xx, lnmean, lnsd, u, sigmau, xi), col="red"))
abline(v = fit$u, col = "red")
  
# Parameterised tail fraction
fit2 = flognormgpd(x, phiu = FALSE)
with(fit2, lines(xx, dlognormgpd(xx, lnmean, lnsd, u, sigmau, xi, phiu), col="blue"))
abline(v = fit2$u, col = "blue")
legend("topright", c("True Density","Bulk Tail Fraction","Parameterised Tail Fraction"),
  col=c("black", "red", "blue"), lty = 1)
  
# Profile likelihood for initial value of threshold and fixed threshold approach
fitu = flognormgpd(x, useq = seq(1, 5, length = 20))
fitfix = flognormgpd(x, useq = seq(1, 5, length = 20), fixedu = TRUE)

hist(x, breaks = 100, freq = FALSE, xlim = c(-0.1, 10), ylim = c(0, 0.8))
lines(xx, y)
with(fit, lines(xx, dlognormgpd(xx, lnmean, lnsd, u, sigmau, xi), col="red"))
abline(v = fit$u, col = "red")
with(fitu, lines(xx, dlognormgpd(xx, lnmean, lnsd, u, sigmau, xi), col="purple"))
abline(v = fitu$u, col = "purple")
with(fitfix, lines(xx, dlognormgpd(xx, lnmean, lnsd, u, sigmau, xi), col="darkgreen"))
abline(v = fitfix$u, col = "darkgreen")
legend("topright", c("True Density","Default initial value (90% quantile)",
 "Prof. lik. for initial value", "Prof. lik. for fixed threshold"),
 col=c("black", "red", "purple", "darkgreen"), lty = 1)

## End(Not run)
  

evmix documentation built on Sept. 3, 2019, 5:07 p.m.