GEV {QRMlib}R Documentation

Generalized Extreme Value Distribution

Description

Cumulative probability, quantiles, density and random generation from the generalized extreme value distribution.

Usage

pGEV(q, xi, mu=0, sigma=1) 
qGEV(p, xi, mu=0, sigma=1) 
dGEV(x, xi, mu=0, sigma=1, logvalue=FALSE) 
rGEV(n, xi, mu=0, sigma=1)

Arguments

x vector of values at which to evaluate density
q vector of quantiles
p vector of probabilities
n sample size
xi shape parameter
mu location parameter
sigma scale parameter
logvalue whether or not log values of density should be returned (useful for ML)

Value

Probability (pGEV), quantile (qGEV), density (dGEV) or random sample (rGEV) for the GEV distribution with shape xi (with location parameter mu and location parameter sigma)

See Also

fit.GEV, fit.GPD, pGPD

Examples

#Compare cdf of GEV to that of Gumbel when xi = 0 with location parameter 1 and scale 2.5
quantValue <- 4.5;
pG <- pGEV(q=quantValue, xi=0, mu=1.0, sigma=2.5) 
pg <- pGumbel(q=quantValue, mu=1.0, sigma=2.5);

[Package QRMlib version 1.4.4 Index]