RtsEva (version 1.1.0)

tsEvaComputeReturnLevelsGPD: tsEvaComputeReturnLevelsGPD

Description

#' tsEvaComputeReturnLevelsGPDis a function that compute the return levels for a Generalized Pareto Distribution (GPD) using the parameters of the distribution and their standard errors.

Usage

tsEvaComputeReturnLevelsGPD(
  epsilon,
  sigma,
  threshold,
  epsilonStdErr,
  sigmaStdErr,
  thresholdStdErr,
  nPeaks,
  sampleTimeHorizon,
  returnPeriods
)

Value

A list containing the following components:

returnLevels

A vector of return levels corresponding to the specified return periods.

returnLevelsErr

A vector of standard errors for the return levels.

Arguments

epsilon

The shape parameter of the GPD.

sigma

The scale parameter of the GPD.

threshold

The threshold parameter of the GPD.

epsilonStdErr

The standard error of the shape parameter.

sigmaStdErr

The standard error of the scale parameter.

thresholdStdErr

The standard error of the threshold parameter.

nPeaks

The number of peaks used to estimate the parameters.

sampleTimeHorizon

The time horizon of the sample in the same units as the return periods (e.g., years).

returnPeriods

The return periods for which to compute the return levels.

Details

sampleTimeHorizon and returnPeriods must be in the same units, e.g. years

Examples

# Example usage with some sample data
epsilon <- c(0.1)
sigma <- c(2.3)
threshold <- c(1.3)
epsilonStdErr <- c(0.01)
sigmaStdErr <- c(0.11)
thresholdStdErr <- c(0.011)
returnPeriodsInDts <- c( 5, 10, 20, 50)
nPeaks=70
SampleTimeHorizon=70
results <- tsEvaComputeReturnLevelsGPD(epsilon, sigma, threshold, epsilonStdErr,
sigmaStdErr, thresholdStdErr, nPeaks, SampleTimeHorizon, returnPeriodsInDts)
head(results$returnLevels)
head(results$returnLevelsErr)