trans2UFrechet | R Documentation |
Empirical and parametric transformation of a dataset to unit Frechet marginal distribution
trans2UFrechet(data, pars, type="Empirical")
data |
A vector of length n or a (n x p) matrix representing the data on its original scale. |
pars |
A (1 x 3) vector or a (p x 3) matrix of marginal GEV parameters. Required when |
type |
A character string indicating the type of transformation. Can take value |
When type="Empirical"
, the transformation function is t(x = -1/log(F_{emp}(x))) where F_{emp}(x) denotes the empirical cumulative distribution.
When type="GEV"
, the transformation function is (1+ξ \frac{x-μ}{σ})^{1/ξ} if ξ \neq 0, σ / (x-μ) if ξ=0. If the argument pars
is missing then a GEV is fitted on the columns of data
using the fGEV
function.
An object of the same format and dimensions as data
.
Simone Padoan, simone.padoan@unibocconi.it, https://faculty.unibocconi.it/simonepadoan/; Boris Beranger, borisberanger@gmail.com https://www.borisberanger.com;
trans2GEV
, fGEV
data(MilanPollution) pars <- fGEV(Milan.winter$PM10)$est pars data_uf <- trans2UFrechet(data=Milan.winter$PM10, pars=pars, type="GEV") fGEV(data_uf)$est data_uf2 <- trans2UFrechet(data=Milan.winter$PM10, type="Empirical") fGEV(data_uf2)$est
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