evir (version 1.7-4)

rlevel.gev: Calculate Return Levels Based on GEV Fit

Description

Calculates the k-block return level and 95% confidence interval based on a GEV model for block maxima, where k is specified by the user. The k-block return level is that level exceeded once every k blocks, on average.

Usage

rlevel.gev(out, k.blocks = 20, add = FALSE, …)

Arguments

out

an object returned by the function gev

k.blocks

specifies the particular return level to be estimated; default set arbitrarily to 20

add

whether the return level should be added graphically to a time series plot; if FALSE a graph of the profile likelihood curve showing the return level and its confidence interval is produced

…

other graphics parameters

Value

Vector containing lower 95% bound of confidence interval, estimated return level and upper 95% bound.

Details

The GEV likelihood is reparameterized in terms of the unknown return level and profile likelihood arguments are used to construct a confidence interval.

See Also

gev, plot.gev

Examples

# NOT RUN {
data(bmw)
out <- gev(bmw, "month")
# Fit GEV to monthly maxima of daily returns on BMW share price
# }
# NOT RUN {
rlevel.gev(out, 40)
# }
# NOT RUN {
# Calculate the 40 month return level
# }