confint: Generic Function to Compute (Profile) Confidence Intervals

In POT: Generalized Pareto Distribution and Peaks Over Threshold

Generic Function to Compute (Profile) Confidence Intervals

Description

Compute (profile) confidence intervals for the scale, shape GPD parameters and also for GPD quantiles.

Usage

## S3 method for class 'uvpot'
confint(object, parm, level = 0.95, ..., range, prob,
 prof = TRUE)

Arguments

object	R object given by function fitgpd.
parm	Charater string specifies for which variable confidence intervals are computed. One of "quant", "scale" or "shape".
level	Numeric. The confidence level.
...	Optional parameters. See details.
range	Vector of dimension two. It gives the lower and upper bound on which the profile likelihood is performed. Only required when "prof = TRUE".
prob	The probability of non exceedance.
prof	Logical. If TRUE (the default), profile confidence intervals are computed. Otherwise, it is Fisher ones.

Details

Additional options can be passed using "..." in the function call. Possibilites are related to the specific functions: link{gpd.fiscale}, link{gpd.fishape}, link{gpd.firl}, link{gpd.pfscale}, link{gpd.pfshape}, link{gpd.pfrl}.

Value

Returns a vector of the lower and upper bound for the (profile) confidence interval. Moreover, a graphic of the profile likelihood function is displayed when prof = TRUE.

Author(s)

Mathieu Ribatet

See Also

link{gpd.fiscale}, link{gpd.fishape}, link{gpd.firl}, link{gpd.pfscale}, link{gpd.pfshape} and link{gpd.pfrl}

Examples

x <- rgpd(100, 0, 1, 0.25)
fmle <- fitgpd(x, 0)
confint(fmle, prob = 0.2)
confint(fmle, parm = "shape")

POT documentation built on April 14, 2022, 3:03 a.m.