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ExtremalDep (version 1.0.0)

trans2GEV: Transformation to GEV Distribution

Description

Transforms marginal distributions from unit Frechet to the GEV scale.

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.

Details

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

See Also

trans2UFrechet

Examples

Run this code
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)

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