Transforms GEV data to unit Frechet ones and vice versa
Transforms GEV data to unit Frechet ones and vice versa
gev2frech(x, loc, scale, shape, emp = FALSE) frech2gev(x, loc, scale, shape)
x |
The data to be transformed to unit Frechet or ordinary GEV margins |
loc, scale, shape |
The location, scale and shape parameters of the GEV. |
emp |
Logical. If |
If Y is a random variable with a GEV distribution with location μ, scale σ and shape ξ. Then,
Z = [1 + ξ (Y - μ) / σ]_+^(1/ξ)
is unit Frechet distributed - where x_+ = max(0, x).
If Z is a unit Frechet random variable. Then,
Y = μ + σ (Z_+^(ξ) - 1) / ξ
is unit GEV distributed with location, scale and shape parameters equal to μ, σ and ξ respectively.
Returns a numeric vector with the same length of x
Mathieu Ribatet
x <- c(2.2975896, 1.6448808, 1.3323833, -0.4464904, 2.2737603,
-0.2581876, 9.5184398, -0.5899699, 0.4974283, -0.8152157)
y <- gev2frech(x, 1, 2, .2)
y
frech2gev(y, 1, 2, .2)Please choose more modern alternatives, such as Google Chrome or Mozilla Firefox.