return_level: Return Levels
Description
Computation of the return levels for an extreme value mixture model
Usage
return_level(x, ...)# S3 method for evmm
return_level(x, values = NULL, cred = 0.95, ...)
Value
A list with the following entries:
quantiles: a matrix containing the estimated return levels, the posterior credibility intervals and the empirical estimate.
data: the dataset used to estimate the return levels.
complete: a matrix with the return levels for each value in the posterior sample.
Arguments
- x
the output of a model estimated with extrememix
- ...
additional arguments for compatibility.
- values
numeric vector of values of which to compute the value at risk.
- cred
amplitude of the posterior credibility interval.
Details
A return level at \(T\) units of time is defined as the \(1-1/T\) quantile.
References
do Nascimento, Fernando Ferraz, Dani Gamerman, and Hedibert Freitas Lopes. "A semiparametric Bayesian approach to extreme value estimation." Statistics and Computing 22.2 (2012): 661-675.