GUMBEL: Two parameter Gumbel distribution and L-moments

In nsRFA: Non-Supervised Regional Frequency Analysis

Two parameter Gumbel distribution and L-moments

Description

GUMBEL provides the link between L-moments of a sample and the two parameter Gumbel distribution.

Usage

f.gumb (x, xi, alfa)
F.gumb (x, xi, alfa)
invF.gumb (F, xi, alfa)
Lmom.gumb (xi, alfa)
par.gumb (lambda1, lambda2)
rand.gumb (numerosita, xi, alfa)

Arguments

x	vector of quantiles
xi	vector of gumb location parameters
alfa	vector of gumb scale parameters
F	vector of probabilities
lambda1	vector of sample means
lambda2	vector of L-variances
numerosita	numeric value indicating the length of the vector to be generated

Details

See https://en.wikipedia.org/wiki/Fisher-Tippett_distribution for an introduction to the Gumbel distribution.

Definition

Parameters (2): \xi (location), \alpha (scale).

Range of x: -\infty < x < \infty.

Probability density function:

f(x) = \alpha^{-1} \exp[-(x-\xi)/\alpha] \exp\{- \exp[-(x-\xi)/\alpha]\}

Cumulative distribution function:

F(x) = \exp[-\exp(-(x-\xi)/\alpha)]

Quantile function: x(F) = \xi - \alpha \log(-\log F).

L-moments

\lambda_1 = \xi + \alpha \gamma

\lambda_2 = \alpha \log 2

\tau_3 = 0.1699 = \log(9/8)/ \log 2

\tau_4 = 0.1504 = (16 \log 2 - 10 \log 3)/ \log 2

Here \gamma is Euler's constant, 0.5772...

Parameters

\alpha=\lambda_2 / \log 2

\xi = \lambda_1 - \gamma \alpha

Lmom.gumb and par.gumb accept input as vectors of equal length. In f.gumb, F.gumb, invF.gumb and rand.gumb parameters (xi, alfa) must be atomic.

Value

f.gumb gives the density f, F.gumb gives the distribution function F, invF.gumb gives the quantile function x, Lmom.gumb gives the L-moments (\lambda_1, \lambda_2, \tau_3, \tau_4)), par.gumb gives the parameters (xi, alfa), and rand.gumb generates random deviates.

Note

For information on the package and the Author, and for all the references, see nsRFA.

See Also

rnorm, runif, EXP, GENLOGIS, GENPAR, GEV, KAPPA, LOGNORM, P3; DISTPLOTS, GOFmontecarlo, Lmoments.

Examples

data(hydroSIMN)
annualflows[1:10,]
summary(annualflows)
x <- annualflows["dato"][,]
fac <- factor(annualflows["cod"][,])
split(x,fac)

camp <- split(x,fac)$"45"
ll <- Lmoments(camp)
parameters <- par.gumb(ll[1],ll[2])
f.gumb(1800,parameters$xi,parameters$alfa)
F.gumb(1800,parameters$xi,parameters$alfa)
invF.gumb(0.7686843,parameters$xi,parameters$alfa)
Lmom.gumb(parameters$xi,parameters$alfa)
rand.gumb(100,parameters$xi,parameters$alfa)

Rll <- regionalLmoments(x,fac); Rll
parameters <- par.gumb(Rll[1],Rll[2])
Lmom.gumb(parameters$xi,parameters$alfa)

nsRFA documentation built on Nov. 13, 2023, 5:07 p.m.