extRemes (version 1.65)

gevrlgradient: GEV Return Level Function Gradient

Description

Calculates the gradient of the GEV return level function for computing the GEV return level confidence intervals by way of the delta method

Usage

gevrlgradient(z, p)

Arguments

z

list object output from the gev.fit function from ismev.

p

Vector of 1/p return periods (e.g., if block maxima are annual maxima, and the 20-year return level is desired, then use p=1/20).

Value

• A 3 by np matrix whose columns give the (three) gradient values for each return period.

Details

Calculates the gradient of the return levels for the GEV df (see, e.g., Coles, 2001 section 3.3.3, pp. 56 - 57).

References

Coles, S. (2001) An Introduction to Statistical Modeling of Extreme Values. London: Springer-Verlag, 208pp. ISBN: 1852334592.

See Also

return.level, From the ismev package: gev.fit, gev.diag

Examples

data(portpirie)
fit <- gev.fit(portpirie[,2])
gevrlgradient( fit, p=c(1/10, 1/20, 1/50, 1/100, 1/1000))
return.level( fit, conf=0.05, rperiods=c(10, 20, 50, 100, 1000))