Confidence interval {POT} | R Documentation |
Compute confidence intervals on parameter and return level for the GP distribution. This is achieved through asymptotic theory and the Observed information matrix of Fisher.
gpd.fishape(fitted, conf = 0.95) gpd.fiscale(fitted, conf = 0.95) gpd.firl(fitted, prob, conf = 0.95)
fitted |
R object given by function fitgpd . |
prob |
The probability of non exceedance. |
conf |
Numeric. The confidence level. |
Returns a vector of the lower and upper bound for the confidence interval.
Mathieu Ribatet
data(ardieres) fitted <- fitgpd(ardieres[,"flows"], 5, 'mle') gpd.fishape(fitted) gpd.fiscale(fitted)