quagpa {lmomco}R Documentation

Quantile Function of the Generalized Pareto Distribution

Description

This function computes the quantiles of the Generalized Pareto distribution given parameters (xi, α, and kappa) of the distribution computed by pargpa. The quantile function of the distribution is

x(F) = xi + frac{α}{kappa} ( 1-(1-F)^kappa ) mbox{ for } kappa ne 0 mbox{ and }

x(F) = xi - αlog(1-F) mbox{ for } kappa = 0 mbox{,}

where x(F) is the quantile for nonexceedance probability F, xi is a location parameter, α is a scale parameter, and kappa is a shape parameter.

Usage

quagpa(f, para)

Arguments

f Nonexceedance probability (0 <= F <= 1).
para The parameters from pargpa or similar.

Value

Quantile value for nonexceedance probability F.

Author(s)

W.H. Asquith

References

Hosking, J.R.M., 1990, L-moments—Analysis and estimation of distributions using linear combinations of order statistics: Journal of the Royal Statistical Society, Series B, vol. 52, p. 105–124.

Hosking, J.R.M., 1996, FORTRAN routines for use with the method of L-moments: Version 3, IBM Research Report RC20525, T.J. Watson Research Center, Yorktown Heights, New York.

Hosking, J.R.M. and Wallis, J.R., 1997, Regional frequency analysis—An approach based on L-moments: Cambridge University Press.

See Also

cdfgpa, pargpa

Examples

  lmr <- lmom.ub(c(123,34,4,654,37,78))
  quagpa(0.5,pargpa(lmr))

[Package lmomco version 0.96.3 Index]