gpdRangeFit: Estimate generalized Pareto distribution parameters over a...

In texmex: Statistical Modelling of Extreme Values

Estimate generalized Pareto distribution parameters over a range of values

Description

Estimate generalized Pareto distribution parameters over a range of values, using maximum (penalized) likelihood.

Usage

gpdRangeFit(data, umin=quantile(data, .05), umax=quantile(data, .95),
nint = 10, penalty = "gaussian", priorParameters = NULL, alpha=0.05,
cov="observed")
## S3 method for class 'gpdRangeFit'
print(x, ...)
## S3 method for class 'gpdRangeFit'
summary(object, ...)
## S3 method for class 'summary.gpdRangeFit'
print(x, ...)
## S3 method for class 'gpdRangeFit'
plot(x, xlab = "Threshold", ylab = NULL, main = NULL, addNexcesses=TRUE, ...)
## S3 method for class 'gpdRangeFit'
ggplot(data, mapping, xlab="Threshold", ylab=NULL,
main=NULL, fill="orange", col="blue", addNexcesses = TRUE, textsize=4, ...,
environment)

Arguments

data	The data vector to be modelled.
umin	The minimum threshold above which to estimate the parameters.
umax	The maximum threshold above which to estimate the parameters.
nint	The number of thresholds at which to perform the estimation.
penalty	The type of penalty to be used in the maximum penalized likelihood estimation. Should be either "gaussian" or "none". Defaults to "gaussian".
priorParameters	Parameters to be used for the penalty function. See the help for evm for more informaiton.
alpha	100(1 - alpha)% confidence intervals will be plotted with the point estimates. Defaults to alpha = 0.05.
cov	How to compute the covariance matrix of the parameters. Defaults to cov = "observed" in which case the observed information matrix is used, if the info element of the texmexFamily object is present. See more detailed documentation of this argument in evm.
x, object	Arguments to print and summary functions.
xlab	Label for the x-axis.
ylab	Label for the y-axis.
main	The main title.
addNexcesses	Annotate top axis with numbers of threshold excesses arising with the corresponding values of threshold on the bottom axis.
col	Colour of the line on the threshold stability plot.
fill	Colour of the pointwise confidence region on the threshold stability plots.
textsize	Size of text on the plot (ggplot). Defaults to textsize=4.
...	Arguments to plot.
mapping, environment	Not used.

Details

This is Stuart Coles' gpd.fitrange, as it appears in the ismev package, refactored into a function that does the computations, and method functions. The function uses evm internally and uses the default options for that function.

Note this function does not extend to assessing model fit when there are covariates included in the model.

Author(s)

Stuart Coles, Janet E Heffernan, Harry Southworth

See Also

evm

Examples

par(mfrow=c(1,2))
plot(gpdRangeFit(rain))

texmex documentation built on June 22, 2024, 12:26 p.m.