return_level | R Documentation |
Computation of the return levels for an extreme value mixture model
return_level(x, ...)
## S3 method for class 'evmm'
return_level(x, values = NULL, cred = 0.95, ...)
x |
the output of a model estimated with |
... |
additional arguments for compatibility. |
values |
numeric vector of values of which to compute the value at risk. |
cred |
amplitude of the posterior credibility interval. |
A return level at T
units of time is defined as the 1-1/T
quantile.
A list with the following entries:
quantiles
: a matrix containing the estimated return levels, the posterior credibility intervals and the empirical estimate.
data
: the dataset used to estimate the return levels.
complete
: a matrix with the return levels for each value in the posterior sample.
do Nascimento, Fernando Ferraz, Dani Gamerman, and Hedibert Freitas Lopes. "A semiparametric Bayesian approach to extreme value estimation." Statistics and Computing 22.2 (2012): 661-675.
ES
, quant
, VaR
return_level(rainfall_ggpd)
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