confint.uvpot: Generic Function to Compute (Profile) Confidence Intervals

Description

Compute (profile) confidence intervals for the scale, shape GPD parameters and also for GPD quantiles.

Usage

# S3 method for uvpot
confint(object, parm, level = 0.95, …, range, prob,
 prof = TRUE)

Arguments

object

R object given by function fitgpd.

parm

Charater string specifies for which variable confidence intervals are computed. One of "quant", "scale" or "shape".

level

Numeric. The confidence level.

…

Optional parameters. See details.

range

Vector of dimension two. It gives the lower and upper bound on which the profile likelihood is performed. Only required when "prof = TRUE".

prob

The probability of non exceedance.

prof

Logical. If TRUE (the default), profile confidence intervals are computed. Otherwise, it is Fisher ones.

Value

Returns a vector of the lower and upper bound for the (profile) confidence interval. Moreover, a graphic of the profile likelihood function is displayed when prof = TRUE.

Details

Additional options can be passed using "…" in the function call. Possibilites are related to the specific functions: link{gpd.fiscale}, link{gpd.fishape}, link{gpd.firl}, link{gpd.pfscale}, link{gpd.pfshape}, link{gpd.pfrl}.

Examples

Run this code

# NOT RUN {
x <- rgpd(100, 0, 1, 0.25)
mle <- fitgpd(x, 0)
confint(mle, prob = 0.2)
confint(mle, parm = "shape")
# }