gpd.fitrange: Fitting the GPD Model Over a Range of Thresholds

Description Usage Arguments Value See Also Examples

Description

Maximum-likelihood fitting for a stationary GPD model, over a range of thresholds. Graphs of parameter estimates which aid the selection of a threshold are produced.

Usage

1
gpd.fitrange(data, umin, umax, nint = 10, show = FALSE, ...)

Arguments

data

A numeric vector of data to be fitted.

umin, umax

The minimum and maximum thresholds at which the model is fitted.

nint

The number of fitted models.

show

Logical; if TRUE, print details of each fit.

...

Optional arguments to gpd.fit.

Value

Two graphs showing maximum likelihood estimates and confidence intervals of the shape and modified scale parameters over a range of thresholds are produced. A list object is returned invisibly with components: 'threshold' numeric vector of length 'nint' giving the thresholds used, 'mle' an 'nint X 3' matrix giving the maximum likelihood parameter estimates (columns are location, scale and shape respectively), 'se' an 'nint X 3' matrix giving the estimated standard errors for the parameter estimates (columns are location, scale and shape, resp.), 'ci.low', 'ci.up' 'nint X 3' matrices giving the lower and upper 95 intervals, resp. (columns same as for 'mle' and 'se').

See Also

gpd.fit, mrl.plot, pp.fit, pp.fitrange

Examples

1
2
## Not run: data(rain)
## Not run: gpd.fitrange(rain, 10, 40)

Example output

Loading required package: mgcv
Loading required package: nlme
This is mgcv 1.8-20. For overview type 'help("mgcv-package")'.

ismev documentation built on May 1, 2019, 9:10 p.m.

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