View source: R/util-FrechtoGPD.R
gpd2frech | R Documentation |
Transforms GPD observations to unit Frechet ones and vice versa
gpd2frech(x, loc = 0, scale = 1, shape = 0, pat = 1) frech2gpd(z, loc = 0, scale = 1, shape = 0, pat = 1)
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. |
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)]
A numeric vector.
Mathieu Ribatet
x <- rgpd(10, 0, 1, 0.25) z <- gpd2frech(x, 0, 1, 0.25) z all(frech2gpd(z, 0, 1, 0.25) == x)
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