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 the profile likelihood procedure.

Usage

gpd.pfshape(fitted, range, xlab, ylab, conf = 0.95, nrang = 100,
vert.lines = TRUE, ...)
gpd.pfscape(fitted, range, xlab, ylab, conf = 0.95, nrang = 100,
vert.lines = TRUE, ...)
gpd.pfrl(fitted, retper, mu, range, xlab, ylab, conf = 0.95, nrang =
100, vert.lines = TRUE, ...)

Arguments

fitted R object given by function fitgpd.
retper Numeric. The return period of interest.
mu Numeric. The mean number of event per year.
range Vector of dimension two. It gives the lower and upper bound on which the profile likelihood is performed.
xlab, ylab Optional Strings. Allows to label the x-axis and y-axis. If missing, default value are considered.
conf Numeric. The confidence level.
nrang Numeric. It specifies the number of profile likelihood computed on the whole range range.
vert.lines Logical. If TRUE (the default), vertical lines are plotted.
... Optional parameters to be passed to the plot function.

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.

References

Coles, S. (2001). An Introduction to Statistical Modelling of Extreme Values. Springer Series in Statistics. London.

Examples

data(ardieres)
fitted <- fitgpd(ardieres[,"flows"], 5, 'mle')
gpd.pfshape(fitted, c(0,0.8))
gpd.pfrl(fitted, 10, 2, c(14,32))

[Package POT version 0.0-3 Index]