GpdDistribution: Generalized Pareto Distribution

In fExtremes: Rmetrics - Modelling Extreme Events in Finance

Generalized Pareto Distribution

Description

A collection and description of functions to compute the generalized Pareto distribution. The functions compute density, distribution function, quantile function and generate random deviates for the GPD. In addition functions to compute the true moments and to display the distribution and random variates changing parameters interactively are available.

The GPD distribution functions are:

dgpd	Density of the GPD Distribution,
pgpd	Probability function of the GPD Distribution,
qgpd	Quantile function of the GPD Distribution,
rgpd	random variates from the GPD distribution,
gpdMoments	computes true mean and variance,
gpdSlider	displays density or rvs from a GPD.

Usage

dgpd(x, xi = 1, mu = 0, beta = 1, log = FALSE) 
pgpd(q, xi = 1, mu = 0, beta = 1, lower.tail = TRUE) 
qgpd(p, xi = 1, mu = 0, beta = 1, lower.tail = TRUE) 
rgpd(n, xi = 1, mu = 0, beta = 1)

gpdMoments(xi = 1, mu = 0, beta = 1)
gpdSlider(method = c("dist", "rvs"))

Arguments

log	a logical, if TRUE, the log density is returned.
lower.tail	a logical, if TRUE, the default, then probabilities are P[X <= x], otherwise, P[X > x].
method	[gpdSlider] - a character string denoting what should be displayed. Either the density and "dist" or random variates "rvs".
n	[rgpd][gpdSim\ - the number of observations to be generated.
p	a vector of probability levels, the desired probability for the quantile estimate (e.g. 0.99 for the 99th percentile).
q	[pgpd] - a numeric vector of quantiles.
x	[dgpd] - a numeric vector of quantiles.
xi, mu, beta	xi is the shape parameter, mu the location parameter, and beta is the scale parameter.

Value

All values are numeric vectors:
d* returns the density,
p* returns the probability,
q* returns the quantiles, and
r* generates random deviates.

Author(s)

Alec Stephenson for the functions from R's evd package,
Alec Stephenson for the functions from R's evir package,
Alexander McNeil for the EVIS functions underlying the evir package,
Diethelm Wuertz for this R-port.

References

Embrechts, P., Klueppelberg, C., Mikosch, T. (1997); Modelling Extremal Events, Springer.

Examples

## rgpd  -
   par(mfrow = c(2, 2), cex = 0.7)
   r = rgpd(n = 1000, xi = 1/4)
   plot(r, type = "l", col = "steelblue", main = "GPD Series")
   grid()
   
## dgpd -
   # Plot empirical density and compare with true density:
   # Omit values greater than 500 from plot
   hist(r, n = 50, probability = TRUE, xlab = "r", 
     col = "steelblue", border = "white",
     xlim = c(-1, 5), ylim = c(0, 1.1), main = "Density")
   box()
   x = seq(-5, 5, by = 0.01)
   lines(x, dgpd(x, xi = 1/4), col = "orange")
   
## pgpd -
   # Plot df and compare with true df:
   plot(sort(r), (1:length(r)/length(r)), 
     xlim = c(-3, 6), ylim = c(0, 1.1), pch = 19, 
     cex = 0.5, ylab = "p", xlab = "q", main = "Probability")
   grid()
   q = seq(-5, 5, by = 0.1)
   lines(q, pgpd(q, xi = 1/4), col = "steelblue")
   
## qgpd -
   # Compute quantiles, a test:
   qgpd(pgpd(seq(-1, 5, 0.25), xi = 1/4 ), xi = 1/4) 

fExtremes documentation built on May 29, 2024, 4:39 a.m.