gpd2frech: Transforms GPD Observations to Unit Frechet Ones and Vice...

View source: R/util-FrechtoGPD.R

gpd2frechR Documentation

Transforms GPD Observations to Unit Frechet Ones and Vice Versa

Description

Transforms GPD observations to unit Frechet ones and vice versa

Usage

gpd2frech(x, loc = 0, scale = 1, shape = 0, pat = 1)
frech2gpd(z, loc = 0, scale = 1, shape = 0, pat = 1)

Arguments

x,z

The vector of observations.

loc,scale,shape

The location, scale and shape parameters respectively.

pat

The proportion above the threshold, i.e. Pr[X > log] = pat.

Details

Let x_i, i=1,…,n be the realisation of a GPD random variable. Thus, the transformation to unit Frechet is defined as:

z_i = -1 / log [1 - pat (1 + shape *(x_i - loc) / scale)_+^(-1/shape)]

Value

A numeric vector.

Author(s)

Mathieu Ribatet

Examples

x <- rgpd(10, 0, 1, 0.25)
z <- gpd2frech(x, 0, 1, 0.25)
z
all(frech2gpd(z, 0, 1, 0.25) == x)

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