POT (version 1.1-11)

Fisher Confidence Interval: 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)

Value

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

Arguments

object

R object given by function fitgpd.

prob

The probability of non exceedance.

conf

Numeric. The confidence level.

Author

Mathieu Ribatet

See Also

rp2prob, prob2rp, gpd.pfscale, gpd.pfshape, gpd.pfrl and confint

Examples

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