ercv (version 1.0.1)

ppot: Cumulative distribution function

Description

Cumulative distribution function from the peaks-over-threshold model.

Usage

ppot(q, pars, lower.tail=TRUE, log.p=FALSE)

Arguments

q

vector of quantiles.

pars

a numeric vector with the set of parameters of peaks-over-threshold model. The names of the elements have to be evi, psi, threshold, prob.

lower.tail

logical; if TRUE (default), probabilities are \(P[X \leq x]\) otherwise, \(P[X > x]\).

log.p

logical; if TRUE probabilities are given as log(p).

Value

Cumulated probability function as a numerical value.

References

del Castillo, J. and Padilla, M. (2016). Modeling extreme values by the residual coefficient of variation. SORT Statist. Oper. Res. Trans. 40(2), 303-320.

del Castillo, J. and Serra, I. (2015). Likelihood inference for Generalized Pareto Distribution. Computational Statistics and Data Analysis, 83, 116-128.

del Castillo, J., Daoudi, J. and Lockhart, R. (2014). Methods to Distinguish Between Polynomial and Exponential Tails. Scandinavian Journal of Statistics, 41, 382-393.

See Also

ercv-package, cievi, ccdfplot, cvevi, cvplot, evicv, fitpot, qpot, tdata, thrselect, Tm

Examples

# NOT RUN {
ppot(1.9, c(evi=0.1, psi=0.2, threshold=0.3, prob=0.4), lower.tail=FALSE)

x<-runif(10000)
x<-c(x^-1,x)
pars<-fitpot(x,1)
ppot(10,pars$coeff,lower.tail=FALSE) #the true value is 0.5/10
# }