confint.uvpot {POT}R Documentation

Generic Function to Compute (Profile) Confidence Intervals

Description

Compute (profile) confidence intervals for the scale, shape GPD parameters and also for GPD quantiles.

Usage

## S3 method for class 'uvpot':
confint(object, parm, level = 0.95, ..., range, prob,
 prof = TRUE)

Arguments

object R object given by function fitgpd.
parm Charater string specifies for which variable confidence intervals are computed. One of "quant", "scale" or "shape".
level Numeric. The confidence level.
... Optional parameters. See details.
range Vector of dimension two. It gives the lower and upper bound on which the profile likelihood is performed. Only required when "prof = TRUE".
prob The probability of non exceedance.
prof Logical. If TRUE (the default), profile confidence intervals are computed. Otherwise, it is Fisher ones.

Details

Additional options can be passed using "..." in the function call. Possibilites are related to the specific functions: link{gpd.fiscale}, link{gpd.fishape}, link{gpd.firl}, link{gpd.pfscale}, link{gpd.pfshape}, link{gpd.pfrl}.

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 when prof = TRUE.

Author(s)

Mathieu Ribatet

See Also

link{gpd.fiscale}, link{gpd.fishape}, link{gpd.firl}, link{gpd.pfscale}, link{gpd.pfshape} and link{gpd.pfrl}

Examples

x <- rgpd(100, 0, 1, 0.25)
mle <- fitgpd(x, 0)
confint(mle, prob = 0.2)
confint(mle, parm = "shape")

[Package POT version 1.0-9 Index]