cdfgev: Cumulative Distribution Function of the Generalized Extreme...

In lmomco: L-Moments, Censored L-Moments, Trimmed L-Moments, L-Comoments, and Many Distributions

Cumulative Distribution Function of the Generalized Extreme Value Distribution

Description

This function computes the cumulative probability or nonexceedance probability of the Generalized Extreme Value distribution given parameters (\xi, \alpha, and \kappa) computed by pargev. The cumulative distribution function is

F(x) = \mathrm{exp}(-\mathrm{exp}(-Y)) \mbox{,}

where Y is

Y = -\kappa^{-1} \log\left(1 - \frac{\kappa(x-\xi)}{\alpha}\right)\mbox{,}

for \kappa \ne 0 and

Y = (x-\xi)/\alpha\mbox{,}

for \kappa = 0, where F(x) is the nonexceedance probability for quantile x, \xi is a location parameter, \alpha is a scale parameter, and \kappa is a shape parameter. The range of x is -\infty < x \le \xi + \alpha/\kappa if k > 0; \xi + \alpha/\kappa \le x < \infty if \kappa \le 0. Note that the shape parameter \kappa parameterization of the distribution herein follows that in tradition by the greater L-moment community and others use a sign reversal on \kappa. (The evd package is one example.)

Usage

cdfgev(x, para, paracheck=TRUE)

Arguments

x	A real value vector.
para	The parameters from pargev or vec2par.
paracheck	A logical switch as to whether the validity of the parameters should be checked.

Value

Nonexceedance probability (F) for x.

Author(s)

W.H. Asquith

References

Hosking, J.R.M., 1990, L-moments—Analysis and estimation of distributions using linear combinations of order statistics: Journal of the Royal Statistical Society, Series B, v. 52, pp. 105–124, \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1111/j.2517-6161.1990.tb01775.x")}.

Hosking, J.R.M., 1996, FORTRAN routines for use with the method of L-moments: Version 3, IBM Research Report RC20525, T.J. Watson Research Center, Yorktown Heights, New York.

Hosking, J.R.M., and Wallis, J.R., 1997, Regional frequency analysis—An approach based on L-moments: Cambridge University Press.

See Also

pdfgev, quagev, lmomgev, pargev

Examples

  lmr <- lmoms(c(123, 34, 4, 654, 37, 78))
  cdfgev(50, pargev(lmr))

lmomco documentation built on Aug. 30, 2023, 5:10 p.m.