R: Translate a vector of Gumbel parameters into a vector of...

gumbel2Ren {Renext}

R Documentation

Translate a vector of Gumbel parameters into a vector of parameters for a renewal model

Description

Translate a (named) vector of Gumbel parameters into a vector of parameters for a renewal model.

Usage

gumbel2Ren(parGumbel,
           threshold = NULL,
           lambda = NULL,
           w = 1,
           distname.y = c("exponential"),
           vcovGumbel = NULL,
           jacobian = TRUE,
           plot = FALSE)

Arguments

`parGumbel`	Named vector of Gumbel parameters, with name `"scale"` and `"shape"`.
`threshold`	The threshold for the target Renouv parameters.
`lambda`	The rate for the target Renouv parameters.
`w`	A block duration for the conversion.
`distname.y`	The distribution of the excesses.
`vcovGumbel`	A covariance matrix for the Gumbel parameters.
`jacobian`	Logical. If `TRUE`, the jacobian is used.
`plot`	Logical. If `TRUE`, a rough plot will be drawn.

Details

Given a vector of Gumbel parameters and a block duration, there exits an infinity of Renouv models with exponential excesses leading to the prescribed Gumbel distributions for the maximum of the marks on a block with duration w. One of these models may be chosen by specifying either a threshold or a rate lambda.

Value

A vector of Renouv parameters, which can be used with RenouvNoEst.

Caution

All Renouv models lead to the same return level curve whatever be the choice of threshold or lambda. However, when a covariance matrix is given, the covariance matrix for the Renouv parameters and consequently the confidence bounds depend on the threshold or rate. So the computed covariance matrix must in general be considered as putative.

Author(s)

Yves Deville