ExtremalDep (version 0.0.4-4)

trans2GEV: Transformation to GEV distribution

Description

Transformation of marginal distribution from unit Frechet to GEV

Usage

trans2GEV(data, pars)

Value

An object of the same format and dimensions as data.

Arguments

data

A vector of length \(n\) or a \((n \times p)\) matrix representing the data on its original scale.

pars

A \((1 \times 3)\) vector or a \((p \times 3)\) matrix of marginal GEV parameters.

Author

Simone Padoan, , https://faculty.unibocconi.it/simonepadoan/; Boris Beranger, https://www.borisberanger.com;

Details

The transformation function is \(\left(x^{\xi} -1 \right) \frac{\sigma}{\xi}+\mu\) if \(\xi\neq 0\), and \(x^{-1}\sigma+\mu\) if \(\xi=0\).

See Also

trans2UFrechet

Examples

data(pollution)
pars <- fGEV(Leeds.frechet[,1])$est

par_new <- c(2, 1.5, 0.5)
data_new <- trans2GEV(Leeds.frechet[,1], pars=par_new)

fGEV(data_new)