Quantile function from the peaks-over-threshold model.
Usage
qpot(p, pars, lower.tail=TRUE)
Arguments
p
vector of probabilities.
pars
a numeric vector with the set of parameters of
peaks-over-threshold model. The names of the elements have to be evi, psi, threshold, prob.
lower.tail
logical; if TRUE (default), probabilities are \(P[X \leq x]\) otherwise, \(P[X > x]\).
Value
Quantile function as a numerical value.
References
del Castillo, J. and Padilla, M. (2016). Modeling extreme values by the residual coefficient of variation. SORT Statist. Oper. Res. Trans. 40(2), 303-320.
del Castillo, J. and Serra, I. (2015). Likelihood inference for Generalized Pareto Distribution. Computational Statistics and Data Analysis, 83, 116-128.
del Castillo, J., Daoudi, J. and Lockhart, R. (2014). Methods to Distinguish Between Polynomial and Exponential Tails. Scandinavian Journal of Statistics, 41, 382-393.
# NOT RUN {qpot(0.1, c(evi=0.1, psi=0.2, threshold=0.3, prob=0.4), lower.tail=FALSE)
x<-runif(10000)
x<-c(x^-1,x)
pars<-fitpot(x,1)
qpot(0.5/10,pars,lower.tail=FALSE) #the true value is 10# }