return_level: Return Levels

In manueleleonelli/extrememix: Bayesian Estimation of Extreme Value Mixture Models

Return Levels

Description

Computation of the return levels for an extreme value mixture model

Usage

return_level(x, ...)

## S3 method for class 'evmm'
return_level(x, values = NULL, cred = 0.95, ...)

Arguments

x	the output of a model estimated with extrememix
...	additional arguments for compatibility.
values	numeric vector of values of which to compute the value at risk.
cred	amplitude of the posterior credibility interval.

Details

A return level at T units of time is defined as the 1-1/T quantile.

Value

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.

References

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.

See Also

ES, quant, VaR

Examples

return_level(rainfall_ggpd)

manueleleonelli/extrememix documentation built on Oct. 25, 2024, 6:24 p.m.