confint.uvpot: Generic Function to Compute (Profile) Confidence Intervals

Description

Compute (profile) confidence intervals for the scale, shape GPD parameters and also for GPD quantiles.

Usage

# S3 method for uvpot
confint(object, parm, level = 0.95, ..., range, prob,
 prof = TRUE)

Value

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.

Arguments

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.

Author

Mathieu Ribatet

Details

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}.

Examples

Run this code

x <- rgpd(100, 0, 1, 0.25)
fmle <- fitgpd(x, 0)
confint(fmle, prob = 0.2)
confint(fmle, parm = "shape")

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