Confidence interval {POT}R Documentation

Confidence interval for the GP distribution

Description

Compute confidence intervals on parameter and return level for the GP distribution. This is achieved through asymptotic theory and the Observed information matrix of Fisher.

Usage

gpd.fishape(fitted, conf = 0.95)
gpd.fiscale(fitted, conf = 0.95)
gpd.firl(fitted, retper, mu, conf = 0.95)

Arguments

fitted R object given by function fitgpd.
retper . The return period.
mu Numeric. The mean number of event per year.
conf Numeric. The confidence level.

Value

Returns a vector of the lower and upper bound for the confidence interval.

Examples

data(ardieres)
fitted <- fitgpd(ardieres[,"flows"], 5, 'mle')
gpd.fishape(fitted)
gpd.fiscale(fitted)

[Package POT version 0.0-3 Index]