spunif: Semi-parametric marginal transformation to uniform
Description
The function spunif transforms a matrix or vector of data x
to the pseudo-uniform scale using a semiparametric transform. Data below the threshold
are transformed to pseudo-uniforms using a rank transform, while data above the threshold
are assumed to follow a generalized Pareto distribution. The parameters of the latter are
estimated using maximum likelihood if either scale = NULL or shape = NULL.
Usage
spunif(x, thresh, scale = NULL, shape = NULL)
Value
a matrix or vector of the same dimension as x, with pseudo-uniform observations
Arguments
x
matrix or vector of data
thresh
vector of marginal thresholds
scale
vector of marginal scale parameters for the generalized Pareto
shape
vector of marginal shape parameters for the generalized Pareto