egp: Extended generalised Pareto families

In mev: Modelling of Extreme Values

Extended generalised Pareto families

Description

This function provides the log-likelihood and quantiles for the three different families presented in Papastathopoulos and Tawn (2013). The latter include an additional parameter, \kappa. All three families share the same tail index as the generalized Pareto distribution, while allowing for lower thresholds. In the case \kappa=1, the models reduce to the generalised Pareto.

egp.retlev gives the return levels for the extended generalised Pareto distributions

Arguments

xdat	vector of observations, greater than the threshold
thresh	threshold value
par	parameter vector (\kappa, \sigma,\xi).
model	a string indicating which extended family to fit
show	logical; if TRUE, print the results of the optimization
p	extreme event probability; p must be greater than the rate of exceedance for the calculation to make sense. See Details.
plot	boolean indicating whether or not to plot the return levels

Details

For return levels, the p argument can be related to T year exceedances as follows: if there are n_y observations per year, than take p to equal 1/(Tn_y) to obtain the T-years return level.

Value

egp.ll returns the log-likelihood value.

egp.retlev returns a plot of the return levels if plot=TRUE and a matrix of return levels.

Usage

egp.ll(xdat, thresh, par, model=c('egp1','egp2','egp3'))

egp.retlev(xdat, thresh, par, model=c('egp1','egp2','egp3'), p, plot=TRUE)

Author(s)

Leo Belzile

References

Papastathopoulos, I. and J. Tawn (2013). Extended generalised Pareto models for tail estimation, Journal of Statistical Planning and Inference 143(3), 131–143.

Examples

set.seed(123)
xdat <- mev::rgp(1000, loc = 0, scale = 2, shape = 0.5)
par <- fit.egp(xdat, thresh = 0, model = 'egp3')$par
p <- c(1/1000, 1/1500, 1/2000)
#With multiple thresholds
th <- c(0, 0.1, 0.2, 1)
opt <- tstab.egp(xdat, th, model = 'egp1')
egp.retlev(xdat, opt$thresh, opt$par, 'egp1', p = p)
opt <- tstab.egp(xdat, th, model = 'egp2', plots = NA)
egp.retlev(xdat, opt$thresh, opt$par, 'egp2', p = p)
opt <- tstab.egp(xdat, th, model = 'egp3', plots = NA)
egp.retlev(xdat, opt$thresh, opt$par, 'egp3', p = p)

mev documentation built on April 20, 2023, 5:10 p.m.