Parameter stability plot and maximum likelihood routine for extended GP models
Source:R/extgp.R
fit.egp.Rd
The function tstab.egp
provides classical threshold stability plot for (\(\kappa\), \(\sigma\), \(\xi\)).
The fitted parameter values are displayed with pointwise normal 95% confidence intervals.
The function returns an invisible list with parameter estimates and standard errors, and p-values for the Wald test that \(\kappa=1\).
The plot is for the modified scale (as in the generalised Pareto model) and as such it is possible that the modified scale be negative.
tstab.egp
can also be used to fit the model to multiple thresholds.
Arguments
- xdat
vector of observations, greater than the threshold
- thresh
threshold value
- model
a string indicating which extended family to fit
- start
optional named list of initial values, with \(\kappa\), \(sigma\) or \(xi\).
- method
the method to be used. See Details. Can be abbreviated.
- fpar
a named list with fixed parameters, either
scale
orshape
- show
logical; if
TRUE
, print the results of the optimization- ...
additional parameters, for backward compatibility purposes
Value
fit.egp
outputs the list returned by optim, which contains the parameter values, the hessian and in addition the standard errors
tstab.egp
returns a plot(s) of the parameters fit over the range of provided thresholds, with pointwise normal confidence intervals; the function also returns an invisible list containing notably the matrix of point estimates (par
) and standard errors (se
).
Details
fit.egp
is a numerical optimization routine to fit the extended generalised Pareto models of Papastathopoulos and Tawn (2013),
using maximum likelihood estimation.
References
Papastathopoulos, I. and J. Tawn (2013). Extended generalised Pareto models for tail estimation, Journal of Statistical Planning and Inference 143(3), 131–143.
Examples
xdat <- mev::rgp(
n = 100,
loc = 0,
scale = 1,
shape = 0.5)
fitted <- fit.egp(
xdat = xdat,
thresh = 1,
model = "pt-gamma",
show = TRUE)
#> Model: Papastathopoulos-Tawn's EGP 2
#> Deviance: 184.419
#>
#> Threshold: 1
#> Number Above: 42
#> Proportion Above: 0.42
#>
#> Estimates
#> kappa scale shape
#> 1.311 0.777 0.914
#>
#> Standard Errors
#> kappa scale shape
#> 0.645 0.894 0.266
#>
#> Optimization Information
#> Convergence: successful
#> Function Evaluations: 122
#> Gradient Evaluations: NA
#>
thresh <- mev::qgp(seq(0.1, 0.5, by = 0.05), 0, 1, 0.5)
tstab.egp(
xdat = xdat,
thresh = thresh,
model = "pt-gamma",
plots = 1:3)
#> Warning: Modified scale not available for EGPD models.
#> Warning: NaNs produced
xdat <- regp(
n = 100,
scale = 1,
shape = 0.1,
kappa = 0.5,
model = "pt-power"
)
fit.egp(
xdat = xdat,
model = "pt-power",
show = TRUE,
fpar = list(kappa = 1),
method = "Nelder"
)
#> Model: Papastathopoulos-Tawn's EGP 3 (power)
#> Deviance: 149.32
#>
#> Threshold: 0
#> Number Above: 100
#> Proportion Above: 1
#>
#> Estimates
#> scale shape
#> 0.591 0.273
#>
#> Standard Errors
#> scale shape
#> 0.108 0.155
#>
#> Optimization Information
#> Convergence: successful
#> Function Evaluations: 39
#> Gradient Evaluations: NA
#>