texmexFamily: Create families of distributions

Description

Create families of distributions for use with extreme value modelling.

Usage

texmexFamily(name, log.lik, param, info = NULL, sandwich =
    NULL, start = NULL, resid = NULL, rl, delta, endpoint, density,
    rng, prob, quant)
    # S3 method for texmexFamily
print(x,...)
    # S3 method for texmexFamily
summary(object,...)
    # S3 method for summary.texmexFamily
print(x,...)

Value

A object of class "texmexFamily", which is essentially a list containing the input arguments. If info,

sandwich, start, resid are not provided, they default to NULL.

Arguments

name: The name of the distribution.
log.lik: The distribution's log-likelihood function.
param: The names of the parameters in the model.
info: Function to compute the information matrix. If not provided, the modelling functions will work with a numerical approximation.
sandwich: Function to compute the filling in the Huber sandwich estimator of the covariance matrix of parameter estimates, used for dependent data. Only implemented in family gpd.
start: Function to compute starting parameters for the model. If not provided, the modelling functions will try to guess.
resid: Function to compute residuals for the model.
rl: Function to compute return levels.
delta: Function to compute adjustments for covariance for return levels.
endpoint: Function to compute the upper or lower endpoint of the fitted distribution.
density: Function to compute the density.
rng: Function for random number generation.
prob: Function to compute cumulative probabilities.
quant: Function to compute quantiles.
...: Additional arguments to the print and summary methods.
x, object: An object of class 'texmexFamily'.

Author

Harry Southworth

Details

The density, rng, prob and quant functions can be simple wrappers for the usual d, r, p and q functions. They should take a matrix with number of columns equal to the number of parameters, and a fitted model object even if the model object is not used by the function.

Examples of "texmexFamily" objects are gpd, gev, glo, gpdIntCensored, weibull, gumbel and egp3. Take a look at those objects to see how the functions should be constructed.