Calculates log return probability given return value(s) of interest, using model fit from extRemes::fevd. Standard error is obtained via the delta method. The return probability is the probability of exceeding the return value in a single block. For non-stationary models (those that include covariates for the location, scale, and/or shape parameters, log probabilities and standard errors are returned for as many sets of covariates as provided.
calc_logReturnProb_fevd(
fit,
returnValue,
covariates = NULL,
getSE = TRUE,
scaling = 1,
upper = FALSE
)fitted object from extRemes fevd
value(s) for which log return probability is desired
matrix of covariate values, each row a set of covariates for which the return probability is desired
logical indicating whether standard error is desired, in addition to the point estimate
if returnValue is scaled for numerics, this allows names of output to be on original scale
logical value indicating whether upper tail or lower tail is being considered
Results are calculated (and returned) on log scale as delta-method based standard errors are more accurate for the log probability. Confidence intervals on the probability scale should be calculated by calculating a confidence interval for the log probability and exponentiating the endpoints of the interval.