Calculates quantiles of a block maxima distribution.
Usage
qBM(p, b, param)
Arguments
p
vector of probabilities.
b
block length (in general b $\ge 2$).
param
three-dimensional vector with location (mu), scale (sigma)
and shape (xi) parameter.
Value
Quantile of a block maxima distribution.
Details
Formular of a block maxima distribution function:
$$F_j(x)=F_j^{(b)}(x)=\left[2\cdot T_{1/\xi}\left(\left\{1+\xi\frac{x-\mu_j}{\sigma_j}\right\}\cdot T_{1/\xi}^{-1}\left(1-\frac{1}{2b}\right)\right)-1\right]^b,$$
where $T_nu$ denote the t-distribution function with $nu$ degrees of freedom.