extRemes (version 1.65)

return.level: Compute m-year Return Levels for GEV and GPD Distributions with Confidence Bounds

Description

Computes confidence limits for m-year return levels for GEV and GPD with the confidence levels using the delta method.

Usage

return.level(z, conf = 0.05, rperiods= c(10,100,210,510,810,980), make.plot = TRUE)

Arguments

z

An object of class gev.fit, gum.fit, or gpd.fit from the gev.fit, gum.fit, or gpd.fit functions from ismev.

conf

The confidence level(s) for (delta) confidence bounds. Confidence intervals are not trustworthy for return periods beyond the range of the data. Check skewness of profile likelihood for a given return level--symmetric profile likelihoods imply that the d

rperiods

Return periods at which to compute confidence limits.

make.plot

logical, if TRUE plots the return levels with confidence bounds.

Value

• Creates a plot if make.plot is TRUE and returns a list invisibly with components.
• return.level
  The m-year return levels.
• return.period
  The return periods, m.
• confidence.delta
  The confidence bounds computed by the delta method.
• conf.level
  The confidence level.

Details

The function also allows for the plotted values to be returned (invisibly).

Confidence levels are computed using the delta method as described in Coles (2001).

For the GEV return levels, return periods must be greater than 1 year.

References

Coles, Stuart. An Introduction to Statistical Modeling of Extreme Values, Springer 2001. ISBN: 1852334592

Gilleland, E. and Katz, R. W. (2011) New software to analyze how extremes change over time. Eos, 92, (20), 13--14.

See Also

gevrlgradient, gev.effective.rl, From the ismev package: gev.fit, gpd.fit, gev.diag, gpd.diag, gev.rl, gpd.rl

Examples

data( ftcanmax)
fit <- gev.fit( ftcanmax[,"Prec"])
return.level(fit)