gpdPbScore {eva}

GPD Parametric Bootstrap Score Test

Description

Parametric bootstrap score test procedure to assess goodness-of-fit to the Generalized Pareto distribution.

Usage

gpdPbScore(
  data,
  bootnum,
  information = c("expected", "observed"),
  allowParallel = FALSE,
  numCores = 1
)

Arguments

data

Data should be in vector form.

bootnum

Number of bootstrap replicates.

information

To use expected (default) or observed information in the test.

allowParallel

Should the bootstrap procedure be run in parallel or not. Defaults to false.

numCores

If allowParallel is true, specify the number of cores to use.

Value

statistic

Test statistic.

p.value

P-value for the test.

theta

Estimated value of theta for the initial data.

effective_bootnum

Effective number of bootstrap replicates (only those that converged are used).

Examples

# Generate some data from GPD
x <- rgpd(200, loc = 0, scale = 1, shape = 0.2)
gpdPbScore(x, bootnum = 100)