spunif: Semi-parametric marginal transformation to uniform

In mev: Modelling of Extreme Values

Semi-parametric marginal transformation to uniform

Description

The function spunif transforms a matrix or vector of data x to the pseudo-uniform scale using a semiparametric transform. Data below the threshold are transformed to pseudo-uniforms using a rank transform, while data above the threshold are assumed to follow a generalized Pareto distribution. The parameters of the latter are estimated using maximum likelihood if either scale = NULL or shape = NULL.

Usage

spunif(x, thresh, scale = NULL, shape = NULL)

Arguments

x	matrix or vector of data
thresh	vector of marginal thresholds
scale	vector of marginal scale parameters for the generalized Pareto
shape	vector of marginal shape parameters for the generalized Pareto

Value

a matrix or vector of the same dimension as x, with pseudo-uniform observations

Author(s)

Leo Belzile

Examples

x <- rmev(1000, d = 3, param = 2, model = 'log')
thresh <- apply(x, 2, quantile, 0.95)
spunif(x, thresh)

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