quant {extrememix}R Documentation

Estimated Quantiles

Description

Computation of posterior quantiles for an extreme value mixture model

Usage

quant(x, ...)

## S3 method for class 'evmm'
quant(x, values = NULL, cred = 0.95, ...)

Arguments

x

the output of a model estimated with extrememix.

...

additional arguments for compatibility.

values

numeric vector of values of which to compute the quantile.

cred

amplitude of the posterior credibility interval.

Details

For a random variable X the p-quantile is the value x such that P(X>x)=1-p. For an extreme value mixture model this can be computed as

x = u +\frac{\sigma}{\xi}((1-p^*)^{-\xi}-1),

where

p^* = \frac{p-F_\textnormal{bulk}(u|\theta)}{1-F_\textnormal{bulk}(u|\theta)},

and F_\textnormal{bulk} is the distribution function of the bulk, parametrized by \theta.

Value

A list with the following entries:

References

do Nascimento, Fernando Ferraz, Dani Gamerman, and Hedibert Freitas Lopes. "A semiparametric Bayesian approach to extreme value estimation." Statistics and Computing 22.2 (2012): 661-675.

Examples

quant(rainfall_ggpd)



[Package extrememix version 0.0.1 Index]