Nothing
Sys.setenv("R_TESTS" = "") # Prevent R CMD check failure with parallel
tol <- 0.12
for(Family in list(gpd,gev)){
set.seed(20130615)
pst <- function(msg) texmex:::texmexPst(msg,Family=Family)
u <- switch(Family$name, GPD=30, GEV=-Inf)
data <- switch(Family$name, GPD=rain, GEV=portpirie$SeaLevel)
fit <- evm(data, th=u, family=Family, penalty="none")
boot <- evmBoot(fit, R=200, trace=1000)
co <- coef(fit)
rep <- boot$replicates
scaleColumn <- switch(Family$name, GPD=1, GEV=2)
rep[, scaleColumn] <- exp(rep[, scaleColumn])
# Compare bootstrap standard errors with those given by Coles
# pages 59 and 85 for GEV and GPD resp
bse <- apply(rep, 2, sd)
cse <- switch(Family$name,GPD=c(.958432, .101151),GEV=c(0.02792848, 0.02024846, 0.09823441))
expect_equal(cse, unname(bse), tolerance=tol,
info=pst("evmBoot: bootstrap se of parameter estimates matches Coles"))
## Check penalization works - set harsh penalty and do similar
## checks to above
pp <- switch(Family$name,GPD=list(c(0, .5), diag(c(.5, .05))), GEV=list(c(5, 0, .5), diag(c(.5, .5, .05))))
fit <- evm(data, th=u, penalty="none", priorParameters=pp,family=Family)
boot <- evmBoot(fit, R=1000, trace=1100)
bse <- apply(boot$replicates, 2, sd)
rse <- bse / fit$se
rse <- ifelse(rse < 1, 1/rse, rse)
expect_true(max(rse) < 1.1, info=pst("evmBoot: SEs with xi in model, with penalty applied"))
best <- apply(boot$replicates, 2, median)
fest <- coef(fit)
rdiff <- abs(best - fest)
# Do 80% test
expect_true(all(rdiff < 1.281552*fit$se), info=pst("evmBoot: medians in line with point ests, with penalty applied"))
##################################################################
# models with covariates. Due to apparent instability
# of the Hessian in some cases, allow some leeway
n <- 1000
mu <- 1
phi <- 5
xi <- 0.05
X <- data.frame(a = rnorm(n),b = runif(n,-0.1,0.1))
th <- switch(Family$name,GPD=0,GEV=-Inf)
test <- function(boot, fit, txt){
bse <- apply(boot$replicates, 2, sd)
rse <- bse / fit$se
rse <- ifelse(rse < 1, 1/rse, rse)
expect_true(max(rse) < 1.5, info=pst(paste("evmBoot: SEs with covariates in", txt)))
best <- apply(boot$replicates, 2, median)
fest <- coef(fit)
rdiff <- abs((best - fest)/fest)
expect_true(all(rdiff < 0.25), info=pst(paste("evmBoot:medians in line with point ests, covariates in", txt)))
}
param <- switch(Family$name, GPD=cbind(2 + X[, 1], xi), GEV=cbind(mu, 2 + X[, 1], xi))
start <- switch(Family$name, GPD=c(2, 1, xi), GEV=c(mu, 2, 1, xi))
X$Y <- Family$rng(n, param, list(threshold=th))
fit <- evm(Y, data=X, phi=~a, th=th, family=Family, start=start)
boot <- evmBoot(fit, R=200, trace=201)
test(boot, fit, "phi")
param <- switch(Family$name,GPD=cbind(phi,0.1+X[,2]),GEV=cbind(mu,phi,0.1+X[,2]))
start <- switch(Family$name,GPD=c(phi,0.1,1),GEV=c(mu,phi,0.1,1))
X$Y <- Family$rng(n,param,list(threshold=th))
fit <- evm(Y,data=X,xi=~b,th=th,family=Family,start=start)
boot <- evmBoot(fit, R=200, trace=201)
test(boot,fit,"xi")
}
Any scripts or data that you put into this service are public.
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.