inst/unitTests/runit.GpdDistribution.R

In fExtremes: Rmetrics - Modelling Extreme Events in Finance

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# Copyrights (C)
# for this R-port: 
#   1999 - 2007, Diethelm Wuertz, GPL
#   Diethelm Wuertz <wuertz@itp.phys.ethz.ch>
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#   see R's copyright and license files
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################################################################################
# FUNCTION:              GPD DISTRIBUTION FAMILY:
# dgpd                    Density for the Generalized Pareto DF [USE FROM EVIS]
#  pgpd                    Probability for the Generalized Pareto DF
#  qgpd                    Quantiles for the Generalized Pareto DF
#  rgpd                    Random variates for the Generalized Pareto DF
# gpdMoments              Computes true statistics for GPD distribution
# gpdSlider               Displays distribution and rvs for GPD distribution
################################################################################


test.gpd =
function()
{
    # Check Distribution:
    set.seed(1985)
    distCheck(fun = "gpd", n = 500, xi = 1, mu = 0, beta = 1)
    
    # Return Value:
    return()    
}


# ------------------------------------------------------------------------------


test.gpdMoments = 
function()
{
    # gpdMoments(xi = 1, mu = 0, beta = 1) 

    # Compute Moments:
    xi = seq(-2, 2, length = 401)
    mom = gpdMoments(xi)
    
    # Plot Mean:
    par(mfrow = c(2, 1), cex = 0.7)
    par(ask = FALSE)
    plot(xi, mom$mean, main = "Mean", pch = 19, cex = 0.5)
    abline(v = 1, col = "red", lty = 3)
    abline(h = 0, col = "red", lty = 3)
    
    # Plot Variance:
    plot(xi, log(mom$var), main = "log Variance", pch = 19, cex = 0.5)
    abline(v = 1/2, col = "red", lty = 3)
    abline(h = 0.0, col = "red", lty = 3)
    
    # Return Value:
    return()    
}


# ------------------------------------------------------------------------------


test.gpdSlider = 
function()
{
    # Distribution Slider:
    # print("Activate Slider manually!")
    # gpdSlider(method = "dist")
    
    # Random Variates Slider:
    # print("Activate Slider manually!")
    # gpdSlider(method = "rvs")
    NA
    
    # Return Value:
    return()    
}


################################################################################