tests/tinytest/test-qgev.R

In texmex: Statistical Modelling of Extreme Values

## get the probabilities that we'll use and sort them
## into ascending order for safekeeping
set.seed(20101111)
probabilities <- sort(runif(10))

core.sanity.test <- function(xi) {
  base.quantiles <- qgev(probabilities, 0, 1, xi)
  ## check that the values are ascending
  expect_true(all(diff(base.quantiles)>=0), "qgev:ascendingquantiles")
  ## and check that we're descending correctly for upper tail
  bq2 <- qgev(probabilities, 0, 1, xi, lower.tail=FALSE)
  expect_true(all(diff(bq2)<=0), "qgev:descendingquantiles")
  ## does lower.tail work
  expect_equal(base.quantiles,
               qgev(1 - probabilities, 0, 1, xi, lower.tail=FALSE),
               label="qgev: lower.tail works correctly")
  ## does log.p work?
  expect_equal(base.quantiles,
               qgev(log(probabilities), 0, 1, xi, log.p=TRUE),
               label="qgev: log.p works")
  ## check shift and scale property
  sigma <- rexp(1)
  mu    <- runif(1, -5, 5)
  shifted <- mu + sigma * base.quantiles
  expect_equal(shifted, qgev(probabilities, mu, sigma, xi),
               label="qgev: shift and scale")
} # Close core.sanity.test

lapply(c(0, seq(-5, 5, length.out=10)), core.sanity.test)

## known values
expect_equal(-log(log(2)), qgev(0.5, 0, 1, 0),
             label="qgev: median match at zero xi")
xi <- seq(-2, 2, length=10)
expect_equal(qgev(0.5, 0, 1, xi),
             expm1(-log(log(2))*xi) / xi,
             label="qgev: median match at nonzero xi")