POT: fisherconf – R documentation

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fisherconf

Fisher Based Confidence Interval for the GP Distribution

Description

Compute Fisher based confidence intervals on parameter and return level for the GP distribution. This is achieved through asymptotic theory and the Observed information matrix of Fisher and eventually the Delta method.

Usage

gpd.fishape(object, conf = 0.95)
gpd.fiscale(object, conf = 0.95)
gpd.firl(object, prob, conf = 0.95)

Arguments

`object`	`R` object given by function `fitgpd`.
`prob`	The probability of non exceedance.
`conf`	Numeric. The confidence level.

Value

Returns a vector of the lower and upper bound for the confidence interval.

Author(s)

Mathieu Ribatet

Examples

data(ardieres)
ardieres <- clust(ardieres, 4, 10 / 365, clust.max = TRUE)
f1 <- fitgpd(ardieres[,"obs"], 5, 'mle')
gpd.fishape(f1)
gpd.fiscale(f1)

POT

Generalized Pareto Distribution and Peaks Over Threshold

v1.1-10

GPL (>= 2)

Authors

Mathieu Ribatet [aut], Christophe Dutang [ctb,cre]

Initial release