extRemes (version 1.61)

gpdrlgradient: Calculate the gradient for the GPD return level

Description

Calculate the gradient for the GPD return level for computing delta method confidence intervals.

Usage

gpdrlgradient(z, m)

Arguments

z

a list object output from the ismev function gpd.fit

m

the 'N*npy' return period (i.e., the actual return period for the 'N-yr' return level). May be a vector.

Value

• a '3 X np' matrix whose columns give the (three) gradient values for each return period.

Details

Does not allow covariates in the parameter estimates. See Coles (2001) section 4.3.3, p. 82 for more information.

References

Coles S, 2001 (2nd prt, 2003). An Introduction to Statistical Modeling of Extreme Values. Springer-Verlag, London. 208pp. ISBN: 1852334592

See Also

gevrlgradient, From the ismev package: gpd.fit, gpd.diag

Examples

data(rain)
fit <- gpd.fit(rain, 10)
gpdrlgradient( fit, m=c(10*fit$npy, 20*fit$npy, 50*fit$npy, 100*fit$npy))