mev (version 1.17)

egp-function: Extended generalised Pareto families of Papastathopoulos and Tawn (functions)

Description

This function provides the log-likelihood and quantiles for the three different families presented in Papastathopoulos and Tawn (2013). The latter include an additional parameter, \(\kappa\). All three families share the same tail index than the GP model, while allowing for lower thresholds.

Usage

egp.ll(xdat, thresh, par, model = c("egp1", "egp2", "egp3"))
egp.retlev(
  xdat,
  thresh,
  par,
  model = c("egp1", "egp2", "egp3"),
  p,
  plot = TRUE
)

Arguments

xdat

vector of observations, greater than the threshold

thresh

threshold value

par

parameter vector (\(\kappa\), \(\sigma\),\(\xi\)).

model

a string indicating which extended family to fit

p

extreme event probability; p must be greater than the rate of exceedance for the calculation to make sense. See Details.

plot

boolean indicating whether or not to plot the return levels