gpd.fitrange: Fitting the GPD Model Over a Range of Thresholds

In ismev: An Introduction to Statistical Modeling of Extreme Values

Description

Maximum-likelihood fitting for a stationary GPD model, over a range of thresholds. Graphs of parameter estimates which aid the selection of a threshold are produced.

Usage

gpd.fitrange(data, umin, umax, nint = 10, show = FALSE, ...)

Arguments

data	A numeric vector of data to be fitted.
umin, umax	The minimum and maximum thresholds at which the model is fitted.
nint	The number of fitted models.
show	Logical; if TRUE, print details of each fit.
...	Optional arguments to gpd.fit.

Value

Two graphs showing maximum likelihood estimates and confidence intervals of the shape and modified scale parameters over a range of thresholds are produced. A list object is returned invisibly with components: 'threshold' numeric vector of length 'nint' giving the thresholds used, 'mle' an 'nint X 3' matrix giving the maximum likelihood parameter estimates (columns are location, scale and shape respectively), 'se' an 'nint X 3' matrix giving the estimated standard errors for the parameter estimates (columns are location, scale and shape, resp.), 'ci.low', 'ci.up' 'nint X 3' matrices giving the lower and upper 95 intervals, resp. (columns same as for 'mle' and 'se').

See Also

gpd.fit, mrl.plot, pp.fit, pp.fitrange

Examples

## Not run: data(rain)
## Not run: gpd.fitrange(rain, 10, 40)

Example output

Loading required package: mgcv
Loading required package: nlme
This is mgcv 1.8-20. For overview type 'help("mgcv-package")'.

ismev documentation built on May 1, 2019, 9:10 p.m.