lmomco (version 0.6)

cdfgev: Cumulative Distribution Function of the Generalized Extreme Value Distribution

Description

This function computes the cumulative probability or nonexceedance probability of the Generalized Extreme Value distribution given parameters ($\xi$, $\alpha$, and $\kappa$) of the distribution computed by pargev. The cumulative distribution function of the distribution is

$$F(x)=e^{-e^{-y}}\text{,}$$

$$y=-{\kappa }^{-1}\log (1-\frac{\kappa (x-\xi )}{\alpha })\text{ for }\kappa \ne 0\text{, and}$$

$$y=(x-\xi )/\alpha \text{ for }\kappa =0\text{,}$$ where $F(x)$ is the nonexceedance probability for quantile $x$, $\xi$ is a location parameter, $\alpha$ is a scale parameter, and $\kappa$ is a shape parameter.

Usage

cdfgev(x, para)

Arguments

x

A real value.

para

The parameters from pargev or similar.

Value

• Nonexceedance probability ($F$) for $x$.

References

Hosking, J.R.M., 1990, L-moments---Analysis and estimation of distributions using linear combinations of order statistics: Journal of the Royal Statistical Society, Series B, vol. 52, p. 105--124.

Hosking, J.R.M., 1996, FORTRAN routines for use with the method of L-moments: Version 3, IBM Research Report RC20525, T.J. Watson Research Center, Yorktown Heights, New York.

Hosking, J.R.M. and Wallis, J.R., 1997, Regional frequency analysis---An approach based on L-moments: Cambridge University Press.

See Also

quagev, pargev

Examples

lmr <- lmom.ub(c(123,34,4,654,37,78))
  cdfgev(50,pargev(lmr))