distLquantile: distribution quantiles

Description

Parametric quantiles of distributions fitted to a sample.

Usage

distLquantile(x = NULL, probs = c(0.8, 0.9, 0.99), truncate = 0, threshold = berryFunctions::quantileMean(dlf$dat_full, truncate), sanerange = NA, sanevals = NA, selection = NULL, order = TRUE, dlf = NULL, list = FALSE, empirical = TRUE, weighted = empirical, gpd = empirical, speed = TRUE, quiet = FALSE, ssquiet = quiet, ttquiet = quiet, gpquiet = missing(quiet) | quiet, ...)

Arguments

Sample for which parametrical quantiles are to be calculated. If it is NULL (the default), dat from dlf is used. DEFAULT: NULL

probs

Numeric vector of probabilities with values in [0,1]. DEFAULT: c(0.8,0.9,0.99)

truncate

Number between 0 and 1 (proportion of sample discarded). Censored quantile: fit to highest values only (truncate lower proportion of x). Probabilities are adjusted accordingly. DEFAULT: 0

threshold

POT cutoff value. If you want correct percentiles, set this only via truncate, see Details of q_gpd. DEFAULT: quantileMean(x, truncate)

sanerange

Range outside of which results should be changed to sanevals. This can capture numerical errors in small samples (notably GPD_MLE_extRemes). If NA, this is ignored. Attention: the RMSE column is also checked and changed. DEFAULT: NA

sanevals

Values to be used below [1] and above [2] sanerange. DEFAULT: NA

selection

Distribution type, eg. "gev" or "wak", see lmomco::dist.list. Can be a vector. If NULL (the default), all types present in dlf$distnames are used. DEFAULT: NULL

order

Logical: sort by RMSE, even if selection is given? See distLweights. DEFAULT: TRUE

dlf

dlf object described in extremeStat. Use this to save computing time for large datasets where you already have dlf. DEFAULT: NULL

list

Return full dlflist with output attached as element quant? If FALSE (the default), just the matrix with quantile estimates is returned. DEFAULT: FALSE

empirical

Add empirical quantileMean in the output matrix and vertical lines? DEFAULT: TRUE

weighted

Include weighted averages across distribution functions to the output? DEFAULT: empirical, so additional options can all be excluded with emp=F.

gpd

Include GPD quantile estimation via q_gpd? Note that the 'GPD_LMO_lmomco' result differs slightly from 'gpa', especially if truncate=0. This comes from using x>threshold (all 'GPD_*' distributions) or x>=threshold ('gpa' and all other distributions in extremeStat). DEFAULT: empirical

speed

Compute q_gpd only for fast methods? Currently, only the Bayesian method is excluded. DEFAULT: TRUE

quiet

Suppress notes? If it is actually set to FALSE (not missing), gpquiet is set to FALSE to print all the warnings including stacks. DEFAULT: FALSE

ssquiet

Suppress sample size notes? DEFAULT: quiet

ttquiet

Suppress truncation!=threshold note? DEFAULT: quiet

gpquiet

Suppress warnings in q_gpd? DEFAULT: TRUE if quiet is not specified, else quiet

...

Arguments passed to distLfit and distLweights like weightc, ks=TRUE

Value

if list=FALSE (default): invisible matrix with distribution quantile values . if list=TRUE: invisible dlf object, see printL

Details

Very high quantiles (99% and higher) need large sample sizes for quantile to yield a robust estimate. Theoretically, at least 1/(1-probs) values must be present, e.g. 10'000 for Q99.99%. With smaller sample sizes (eg n=35), they underestimate the actual (but unknown) quantile. Parametric quantiles need only small sample sizes. They don't have a systematical underestimation bias, but have higher variability.

References

On GPD: http://stats.stackexchange.com/questions/69438

Examples

Run this code


data(annMax) # Annual Discharge Maxima (streamflow)

distLquantile(annMax, emp=FALSE)[,] # several distribution functions in lmomco
distLquantile(annMax, truncate=0.8, probs=0.95)[,] # POT (annMax already block maxima)
dlf <- distLquantile(annMax, probs=0.95, list=TRUE)
plotLquantile(dlf, linargs=list(lwd=3), nbest=5, breaks=10)
dlf$quant
# Parametric 95% quantile estimates range from 92 to 111!
# But the best fitting distributions all lie aroud 103.

# compare General Pareto Fitting methods
# Theoretically, the tails of distributions converge to GPD (General Pareto)
# q_gpd compares several R packages for fitting and quantile estimation:
dlq <- distLquantile(annMax, weighted=FALSE, quiet=TRUE, probs=0.97, list=TRUE)
dlq$quant
plotLquantile(dlq) # per default best fitting distribution functions
plotLquantile(dlq, row=c("wak","GPD*"), nbest=14)
#pdf("dummy.pdf", width=9)
plotLquantile(dlq, row="GPD*", nbest=13, xlim=c(102,110), 
          linargs=list(lwd=3), heights=seq(0.02, 0.005, len=14))
#dev.off()


## Not run: 
# ## Taken out from CRAN package check because it's slow
# 
# # Sanity checks: important for very small samples:
# x1 <- c(2.6, 2.5, 2.9, 3, 5, 2.7, 2.7, 5.7, 2.8, 3.1, 3.6, 2.6, 5.8, 5.6, 5.7, 5.3)
# q1 <- distLquantile(x1, sanerange=c(0,500), sanevals=c(NA,500))
# x2 <- c(6.1, 2.4, 4.1, 2.4, 6, 6.3, 2.9, 6.8, 3.5)
# q2 <- distLquantile(x2, sanerange=c(0,500), sanevals=c(NA,500), quiet=FALSE)
# x3 <- c(4.4, 3, 1.8, 7.3, 2.1, 2.1, 1.8, 1.8)
# q3 <- distLquantile(x3, sanerange=c(0,500), sanevals=c(NA,500))
# 
# # weighted distribution quantiles are calculated by different weighting schemes:
# plotLweights(dlf)
# 
# # If speed is important and parameters are already available, pass them via dlf:
# distLquantile(dlf=dlf, probs=0:5/5, selection=c("wak","gev","kap"))
# distLquantile(dlf=dlf, truncate=0.3, list=TRUE)$truncate
# 
# # censored (truncated, trimmed) quantile, Peak Over Treshold (POT) method:
# qwak <- distLquantile(annMax, sel="wak", prob=0.95, emp=FALSE, list=TRUE)
# plotLquantile(qwak, ylim=c(0,0.06) ); qwak$quant
# qwak2 <-distLquantile(annMax, sel="wak", prob=0.95, emp=FALSE, list=TRUE, truncate=0.6)
# plotLquantile(qwak2, add=TRUE, distcols="blue")
#                      
# 
# # Simulation of truncation effect
# library(lmomco)
# #set.seed(42)
# rnum <- rlmomco(n=1e3, para=dlf$parameter$gev)
# myprobs <- c(0.9, 0.95, 0.99, 0.999)
# mytrunc <- seq(0, 0.9, length.out=20)
# trunceffect <- sapply(mytrunc, function(mt) distLquantile(rnum, selection="gev",
#                              probs=myprobs, truncate=mt, quiet=TRUE,
#                              pempirical=FALSE)["gev",])
# # If more values are truncated, the function runs faster
# 
# op <- par(mfrow=c(2,1), mar=c(2,4.5,2,0.5), cex.main=1)
# dlf1 <- distLquantile(rnum, sel="gev", probs=myprobs, emp=FALSE, list=TRUE)
# dlf2 <- distLquantile(rnum, sel="gev", probs=myprobs, emp=FALSE, list=TRUE, truncate=0.3)
# plotLquantile(dlf1, ylab="", xlab="")
# plotLquantile(dlf2, add=TRUE, distcols=4)
# legend("right", c("fitted GEV", "fitted with truncate=0.3"), lty=1, col=c(2,4), bg="white")
# par(mar=c(3,4.5,3,0.5))
# plot(mytrunc, trunceffect[1,], ylim=range(trunceffect), las=1, type="l",
#      main=c("High quantiles of 1000 random numbers from gev distribution",
#            "Estimation based on proportion of lower values truncated"),
#      xlab="", ylab="parametrical quantile")
# title(xlab="Proportion censored", mgp=c(1.8,1,0))
# for(i in 2:4) lines(mytrunc, trunceffect[i,])
# library("berryFunctions")
# textField(rep(0.5,4), trunceffect[,11], paste0("Q",myprobs*100,"%") )
# par(op)
# 
# trunc <- seq(0,0.1,len=200)
# dd <- pbsapply(trunc, function(t) distLquantile(annMax, 
#           selection="gpa", weight=FALSE, truncate=t, prob=0.99, quiet=T)[c(1,3),])
# lines(trunc, dd[2,], type="o", col=2)
# 
# 
# set.seed(3); rnum <- rlmomco(n=1e3, para=dlf$parameter$gpa)
# qd99 <- evir::quant(rnum, p=0.99, start=15, end=1000, ci=0.5, models=30)
# axis(3, at=seq(-1000,0, length=6), labels=0:5/5, pos=par("usr")[3])
# title(xlab="Proportion truncated", line=-3)
# mytrunc <- seq(0, 0.9, length.out=30)
# trunceffect <- sapply(mytrunc, function(mt) distLquantile(rnum, selection="gpa",
#                       probs=0.99, truncate=mt, plot=FALSE, quiet=TRUE,
#                       empirical=FALSE, gpd=TRUE))
# lines(-1000*(1-mytrunc), trunceffect[1,], col=4)
# lines(-1000*(1-mytrunc), trunceffect[2,], col=3) # interesting...
# for(i in 3:13) lines(-1000*(1-mytrunc), trunceffect[i,], col=3) # interesting...
# 
# # If you want the estimates only for one single truncation, use
# q_gpd(rnum, probs=myprobs, truncate=0.5)
# 
# ## End(Not run) # end dontrun

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