| return.level.est {envoutliers} | R Documentation |
Return level estimation - Only intended for developer use
Description
Estimation of return level for a given threshold value using Peaks Over Threshold model.
The function is called by KRDetect.outliers.EV and is not intended for use by regular users of the package.
Usage
return.level.est(r, u, sigma_u, xi, lambda_u, theta)
Arguments
r |
a return period. |
u |
a threshold value. |
sigma_u |
a scale parameter of Generalized Pareto distribution. |
xi |
a shape parameter of Generalized Pareto distribution. |
lambda_u |
a relative frequency of the number of threshold value exceedances. |
theta |
an extremal index. |
Details
This function computes the estimate of return level for a given threshold value using Peaks Over Threshold model.
The function is exported for developer use only. It does not perform any checks on inputs since it is only convenience function used within KRDetect.outliers.EV.
Value
A numeric value of return lever corresponding to return period r
References
Coles S (2001). An Introduction to Statistical Modeling of Extreme Values. 3 edition. London: Springer. ISBN 1-85233-459-2.
Pickands J (1975). Statistical inference using extreme order statistics. The Annals of Statistics, 3(1), 119-131.