Renext (version 3.1-4)

fGEV.MAX: Fit a GEV distribution from block maxima or r largest order statistics using an aggregated Renewal POT process

Description

Fit a GEV distribution from block maxima or \(r\) largest order statistics using an aggregated Renewal POT process.

Usage

fGEV.MAX(MAX.data, MAX.effDuration,
         MAX = NULL,
         control = list(maxit = 300, fnscale = -1),
         scaleData = TRUE,
         cov = TRUE,
         info.observed = TRUE,
         trace = 0)

Value

A list

estimate

Named vector of the estimated parameters for the GEV distribution of maxima.

opt

Result of the optimisation.

loglik

Identical to opt$value. This is the maximised log-likelihood for the renewal POT model.

sd

Standard deviation of the estimates (approximation based on the ML theory).

cov

Covariance matrix of the estimates (approximation based on the ML theory).

Arguments

MAX.data

A list of block maxima or \(r\) largest statistics as in Renouv.

MAX.effDuration

A vector of durations as in Renouv. The durations must be identical in order to have a common GEV distribution for the maxima.

MAX

A compact representation of the needed data as a list. This is typically created by using the (non exported) Renext:::makeMAXdata function.

control

List to control the optimisation in optim.

scaleData

Logical. If TRUE, the data in MAX.data are scaled before being used in the likelihood. The scaling operation is carried on the excesses (observations minus threshold).

cov

Logical. If TRUE the standard deviation and the covariance matrix of the estimates are computed and returned as sd and cov elements of the list. However if the estimated shape parameter is \(< - 0.5\) the two elements are filled with NA because the regularity conditions can not be thought of as valid.

info.observed

Logical. If TRUE the covariance is computed from the observed information matrix. If FALSE, the expected information matrix is used instead. This is only possible for block maxima data, i.e. when all the blocks contain only one observation. The computation relies on the formula given by Prescott and Walden. Note that the default value differs from that of the functions fGPD, flomax and fmaxlo, for historical reasons.

trace

Integer level of verbosity during execution. With the value 0, nothing is printed.

Author

Yves Deville

Caution

Whatever be the data, the log-likelihood is infinite (hence maximal) for any vector of GEV parameters with shape \(< -1\) and postive scale. Hence the log-likelihood should be maximised with a constraint on the shape, while an unconstrained optimisation is used here. In practice, for numerical reasons, the estimate usually remains inside the shape > -1 region. An estimation leading to shape \(< -1\) must be considered as meaningless. An estimation with shape \(< -0.5\) should be considered with care.

Details

The data are assumed to provide maxima or \(r\) largest statistics arising from an aggregated renewal POT model with unknown event rate \(\lambda\) and unknown two-parameter Generalised Pareto Distribution for the excesses. A threshold \(u\) is fixed below the given data and the three unknown parameters lambda, scale and shape of the POT model are found by maximising the likelihood. Then a vector of the three parameters for the GEV distribution is computed by transformation. The covariance matrix and standard deviations are computed as well using the jacobian matrix of the transformation.

The maximisation is for the log-likelihood with the rate lambda concentrated out, so it is a two-parameter optimisation.

References

The Renext Computing Details document.

Prescott P. and Walden A.T. (1980) Maximum Likelihood Estimation of the Parameters of the Generalized Extreme-Value Distribution. Biometrika 67(3), 723-724.

See Also

Renouv.

Examples

##====================================================================
## block maxima: simulated data and comparison with  the 'fgev'
## function from the 'evd' package
##====================================================================
set.seed(1234)
u <- 10
nBlocks <- 30
nSim <- 100   ## number of samples 
Par <- array(NA, dim = c(nSim, 3, 2),
             dimnames = list(NULL, c("loc", "scale", "shape"), c("MAX", "evd")))
LL <- array(NA, dim = c(nSim, 2),
            dimnames = list(NULL, c("MAX", "evd")))

for (i in 1:nSim) {
  rd <- rRendata(threshold = u,
                 effDuration = 1,
                 lambda = 12,
                 MAX.effDuration = rep(1, nBlocks),
                 MAX.r = rep(1, nBlocks),
                 distname.y = "exp", par.y = c(rate = 1 / 100))

  MAX <- Renext:::makeMAXdata(rd)
  fit.MAX <- fGEV.MAX(MAX = MAX)
  fit.evd <- fgev(x = unlist(MAX$data))
  Par[i, , "MAX"] <- fit.MAX$estimate
  Par[i, , "evd"] <- fit.evd$estimate
  LL[i, "MAX"] <- fit.MAX$loglik
  LL[i, "evd"] <- logLik(fit.evd)
}

##====================================================================
## r largest: use 'ismev::rlarg.fit' on the venice data set.
## NB 'venice' is taken from the 'evd' package here.
##====================================================================
if (FALSE) { 
require(ismev);
fit1 <- ismev::rlarg.fit(venice)

## transform data: each row is a block
MAX.data <- as.list(as.data.frame(t(venice)))
## remove the NA imposed by the rectangular matrix format
MAX.data <- lapply(MAX.data, function(x) x[!is.na(x)])
MAX.effDuration <- rep(1, length(MAX.data))

fit2 <- fGEV.MAX(MAX.data = MAX.data,
                 MAX.effDuration = MAX.effDuration)

## estimates
est <- cbind(ismev = fit1$mle, RenextLab = fit2$estimate)
print(est)
# covariance
covs <- array(dim = c(2, 3, 3),
              dimnames = list(c("ismev", "RenextLab"),
                colnames(fit2$cov), colnames(fit2$cov)))
                
covs["ismev", , ] <- fit1$cov
covs["RenextLab", , ] <- fit2$cov
print(covs)
}