gev.parameterCI {extRemes} | R Documentation |
Computes confidence intervals for return levels and/or shape parameters of GEV (or GP) using the profile likelihood appraoch.
gev.parameterCI(z, m, rl.xlow, rl.xup, xi.xlow=NULL, xi.xup=NULL, conf = 0.95, nint = 100, rl.only=FALSE, xi.only=FALSE, make.plot=FALSE) gpd.parameterCI(z, m, conf = 0.95, nint = 100, rl.xup=NULL, rl.xlow=NULL, xi.xup=NULL, xi.xlow=NULL, rl.only=FALSE, xi.only=FALSE, make.plot=FALSE)
z |
object from gev.fit or gpd.fit functions of the ismev package. |
m |
m-year return level for which to calculate confidence interval. |
rl.xlow |
initial guess of lower limit for return level (generally should be lower than actual limit).
If NULL, this function will make its own guess–it is recommended to plot the profile
likelihood when finding these limits automatically (make.plot =TRUE). |
rl.xup |
initial guess of upper limit for return level (generally should be higher than actual limit).
If NULL, this function will make its own guess–it is recommended to plot the profile
likelihood when finding these limits automatically (make.plot =TRUE). |
xi.xlow |
analogous to rl.xlow, but for shape parameter. |
xi.xup |
analogous to rl.xup, but for shape parameter. |
conf |
desired confidence. |
nint |
number of values (ret. level and/or shape parameter) to compute in trying to find confidence bounds. |
rl.only |
logical, if TRUE calculate only the return level confidence intervals. |
xi.only |
logical, if TRUE calculate only the shape parameter confidence intervals. |
make.plot |
logical, if TRUE plots profile likelihoods. |
This is a fairly rough routine, and is designed mainly to work internally with the extRemes GUI dialogs. However, it can be used externally with care. It makes use of a bisection search and spline fitting in order to find where the profile likelihood crosses the horizontal line through c; the maximum log-likelihood less the associated chi-square quantile.
A list with components:
upcross.level |
the maximum log-likelihood value less the associated chi-square quantile. |
rl |
a list object containing the return level characteristics. Including: the maximum likelihood estimate for the m-year return level (mle), the spline function used to estimate the profile likelihood (sfun), and the upper (up) and lower (dn) confidence limits. |
xi |
Shape parameter characteristics–analogous to rl, but no mle component. |
Eric Gilleland
Coles, Stuart (2001). An Introduction to Statistical Modeling of Extreme Values. Springer-Verlag, London.
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.
gev.fit
, gpd.fit
, gev.diag
, gpd.diag
, gev.prof
, gev.profxi
,
gpd.prof
, gpd.profxi
# See extRemes tutorial (Gilleland et al. (2005)) for examples using the GUI interface.