return.level {extRemes} | R Documentation |
Computes confidence limits for m-year return levels for GEV and GPD using profile likelihoods and a cubic spline ('splinefun'). It also computes the confidence levels using the ``delta" method.
return.level(z, conf = 0.05, rperiods= c(10,100,210,510,810,980), make.plot = TRUE)
z |
An object of class "gev.fit" or "gpd.fit" from the gev.fit or gpd.fit functions
from the ismev library of Stuart Coles (ported to R by Alec Stephenson). |
conf |
The confidence level for confidence bounds. |
rperiods |
Return periods at which to compute confidence limits with
profile likelihood plots–the rest will be interpolated with a spline function
using the R function splinefun |
make.plot |
logical, if 'TRUE' plots the return levels with confidence bounds. |
This function is in part a modification of the functions 'gev.rl' and 'gpd.rl' from the ismev library. It allows for the plotted values to be returned (invisibly) as well as other confidence levels besides 97.5%.
Confidence levels are computed using both the profile likelihood method (for return levels given by 'rlevels') with a cubic spline (to interpolate for many values not given by 'rlevels') and by the delta method described in Coles (2001).
Creates a plot if 'make.plot' is TRUE and returns a list invisibly with components.
return.level |
The m-year return levels. |
return.period |
The return periods, m. |
confidence |
The confidence bounds estimated from the profile likelihood. |
confidence.delta |
The confidence bounds computed by the delta method. |
conf.level |
The confidence level. |
Eric Gilleland
Coles, Stuart. "An Introduction to Statistical Modeling of Extreme Values", Springer 2001. ISBN: 1852334592
Gilleland, Eric and Katz, Richard W. Tutorial for the 'Extremes Toolkit: Weather and Climate Applications of Extreme Value Statistics.' http://www.assessment.ucar.edu/toolkit, 2005.
From the ismev
package: gev.fit
, gpd.fit
, gev.diag
, gpd.diag
,
gev.rl
, gpd.rl
# Must have the 'ismev' package loaded. require( ismev) data( ftcanmax) fit <- gev.fit( ftcanmax[,"Prec"]) class( fit) <- "gev.fit" # 'gev.fit' does not actually assign this class, # but it must be done. return.level( fit)