Description
Computation of the upper bound of the distribution
Usage
upper_bound(x, ...)# S3 method for evmm
upper_bound(x, cred = 0.95, ...)
Value
upper_bound returns a list with entries:
bound: a sample from the posterior distribution of the upper limit of the model, taken over the posterior values of xi which are negative.
prob: the posterior probability that the distribution is unbounded.
cred: the requested amplitude of the posterior credibility intervals.
Arguments
- x
the output of a model estimated with extrememix.
- ...
additional arguments for compatibility.
- cred
amplitude of the posterior credibility interval.
Details
For an extreme value mixture model with a shape parameter \(xi < 0\) the distribution is right-bounded with upper limit equal to \(u-\sigma/\xi\).
References
Coles, Stuart, et al. An introduction to statistical modeling of extreme values. Vol. 208. London: Springer, 2001.