gevrlgradient {extRemes} | R Documentation |
Calculates the gradient of the GEV return level function for computing the GEV return level confidence intervals by way of the delta method (e.g., Coles, 2001 section 3.3.3, pp. 56-57)
gevrlgradient(z, p)
z |
list object output from the gev.fit function from ismev. |
p |
Vector of 1/p return periods (e.g., if block maxima are annual maxima, and the 20-year return level is desired, then use p=1/20). |
A '3 X np' matrix whose columns give the (three) gradient values for each return period.
Eric Gilleland
Coles S, 2001 (2nd prt, 2003). An Introduction to Statistical Modeling of Extreme Values. Springer-Verlag, London. 208pp. ISBN: 1852334592
return.level
, From the ismev
package: gev.fit
, gev.diag
data(portpirie) fit <- gev.fit(portpirie[,2]) gevrlgradient( fit, p=c(1/10, 1/20, 1/50, 1/100, 1/1000)) class( fit) <- "gev.fit" return.level( fit, conf=0.05, rperiods=c(10, 20, 50, 100, 1000))