fliteMethods {lite} | R Documentation |
Methods for objects of class "flite"
Description
Methods for objects of class "flite"
returned from
flite
.
Usage
## S3 method for class 'flite'
plot(
x,
which = c("all", "pu", "gp", "xi", "theta"),
adj_type = c("vertical", "none", "cholesky", "spectral"),
...
)
## S3 method for class 'flite'
coef(object, ...)
## S3 method for class 'flite'
vcov(object, adjust = TRUE, ...)
## S3 method for class 'flite'
nobs(object, ...)
## S3 method for class 'flite'
logLik(object, ...)
## S3 method for class 'flite'
summary(object, adjust = TRUE, digits = max(3, getOption("digits") - 3L), ...)
## S3 method for class 'summary.flite'
print(x, ...)
## S3 method for class 'flite'
confint(
object,
parm = "all",
level = 0.95,
adj_type = c("vertical", "none", "cholesky", "spectral"),
profile = TRUE,
...
)
Arguments
x |
An object inheriting from class |
which |
A character scalar indicating which plot(s) to produce.
If |
adj_type |
A character scalar passed to
|
... |
For For For Otherwise |
object |
An object of class |
adjust |
A logical scalar. If |
digits |
An integer. Passed to |
parm |
A character vector specifying the parameters for which
confidence intervals are required. The default, |
level |
The confidence level required. A numeric scalar in (0, 1). |
profile |
A logical scalar. If |
Details
For plot.flite
, if which = "all"
then 4 plots are
produced.
Top left: (adjusted) log-likelihood for the threshold exceedence probability
p
u, with a horizontal line indicating a 95% confidence interval forp
u.Top right: contour plot of the (adjusted) log-likelihood for the GP parameters (
\sigma
u,\xi
), showing (25, 50, 75, 90, 95)% confidence regions. The linear constraint\xi
> -\sigma
u /x
(n) is drawn on the plot.Bottom left: (adjusted) log-likelihood for
\xi
, with a horizontal line indicating a 95% confidence interval for\xi
.Bottom right: log-likelihood for the extremal index
\theta
, with a horizontal line indicating a 95% confidence interval for\theta
.
Value
plot.flite
: No return value, only the plot is produced.
coef.flite
: a numeric vector of length 4 with names
c("p[u]", "sigma[u]", "xi", "theta")
. The MLEs of the parameters
p
u,
\sigma
u,
\xi
and \theta
.
vcov.flite
: a 4 \times 4
matrix with row and
column names c("p[u]", "sigma[u]", "xi", "theta")
. The estimated
variance-covariance matrix for the model parameters. If
adjust = TRUE
then the elements corresponding to
p
u,
\sigma
u,
and \xi
are adjusted for cluster dependence using
a sandwich estimator; otherwise they are not adjusted.
nobs.flite
: a numeric vector of length 3 with names
c("p[u]", "gp", "theta")
. The respective number of observations
used to estimate p
u,
(\sigma
u,
\xi
) and \theta
.
logLik.flite
: an object of class "logLik"
: a numeric scalar
with value equal to the maximised log-likelihood. This is the sum of
contributions from three fitted models, from a Bernoulli model for
occurrences of threshold exceedances, a generalised Pareto model for
threshold excesses and a K
-gaps model for the extremal index.
The returned object also has attributes nobs
, the numbers of
observations used in each of these model fits, and "df"
(degrees
of freedom), which is equal to the number of total number of parameters
estimated (4).
summary.flite
: an object containing the original function call and
a matrix of estimates and estimated standard errors with row names
c("p[u]", "sigma[u]", "xi", "theta")
. The object is printed by
print.summary.flite
.
print.summary.flite
: the argument x
is returned, invisibly.
confint.flite
: a numeric matrix with 2 columns giving the lower and
upper confidence limits for each parameter. These columns are labelled
as (1-level)/2
and 1-(1-level)/2
, expressed as a
percentage, by default 2.5%
and 97.5%
. The row names
are the names of the parameters supplied in parm
.
See Also
flite
to perform frequentist threshold-based
inference for time series extremes.