| confint.uvpot {POT} | R Documentation |
Compute (profile) confidence intervals for the scale, shape GPD parameters and also for GPD quantiles.
## S3 method for class 'uvpot': confint(object, parm, level = 0.95, ..., range, prob, prof = TRUE)
object |
R object given by function fitgpd. |
parm |
Charater string specifies for which variable confidence
intervals are computed. One of "quant", "scale" or
"shape". |
level |
Numeric. The confidence level. |
... |
Optional parameters. See details. |
range |
Vector of dimension two. It gives the lower and upper bound on which the profile likelihood is performed. Only required when "prof = TRUE". |
prob |
The probability of non exceedance. |
prof |
Logical. If TRUE (the default), profile confidence
intervals are computed. Otherwise, it is Fisher ones. |
Additional options can be passed using "..." in the function
call. Possibilites are related to the specific functions:
link{gpd.fiscale}, link{gpd.fishape},
link{gpd.firl}, link{gpd.pfscale},
link{gpd.pfshape}, link{gpd.pfrl}.
Returns a vector of the lower and upper bound for the (profile) confidence
interval. Moreover, a graphic of the profile likelihood function is
displayed when prof = TRUE.
Mathieu Ribatet
link{gpd.fiscale}, link{gpd.fishape},
link{gpd.firl}, link{gpd.pfscale},
link{gpd.pfshape} and link{gpd.pfrl}
x <- rgpd(100, 0, 1, 0.25) mle <- fitgpd(x, 0) confint(mle, prob = 0.2) confint(mle, parm = "shape")