ppot {ercv}

Cumulative distribution function

Description

Cumulative distribution function from the peaks-over-threshold model.

Usage

ppot(q, pars, lower.tail=TRUE, log.p=FALSE)

Arguments

q

vector of quantiles.

pars

a numeric vector with the set of parameters of peaks-over-threshold model. The names of the elements have to be evi, psi, threshold, prob.

lower.tail

logical; if TRUE (default), probabilities are P[X \leq x] otherwise, P[X > x].

log.p

logical; if TRUE probabilities are given as log(p).

Value

Cumulated probability function as a numerical value.

Author(s)

Joan del Castillo, David Moriña Soler and Isabel Serra

References

del Castillo, J. and Padilla, M. (2016). Modeling extreme values by the residual coefficient of variation. SORT Statist. Oper. Res. Trans. 40(2), 303-320.

del Castillo, J. and Serra, I. (2015). Likelihood inference for Generalized Pareto Distribution. Computational Statistics and Data Analysis, 83, 116-128.

del Castillo, J., Daoudi, J. and Lockhart, R. (2014). Methods to Distinguish Between Polynomial and Exponential Tails. Scandinavian Journal of Statistics, 41, 382-393.

See Also

ercv-package, cievi, ccdfplot, cvevi, cvplot, evicv, fitpot, qpot, tdata, thrselect, Tm

Examples

ppot(1.9, c(evi=0.1, psi=0.2, threshold=0.3, prob=0.4), lower.tail=FALSE)

x<-runif(10000)
x<-c(x^-1,x)
pars<-fitpot(x,1)
ppot(10,pars$coeff,lower.tail=FALSE) #the true value is 0.5/10