confint.eprof {mev}

Confidence intervals for profile likelihood objects

Description

Computes confidence intervals for the parameter psi for profile likelihood objects. This function uses spline interpolation to derive level confidence intervals

Usage

## S3 method for class 'eprof'
confint(
  object,
  parm,
  level = 0.95,
  prob = c((1 - level)/2, 1 - (1 - level)/2),
  print = FALSE,
  method = c("cobs", "smooth.spline"),
  ...
)

Arguments

object

an object of class eprof, normally the output of gpd.pll or gev.pll.

parm

a specification of which parameters are to be given confidence intervals, either a vector of numbers or a vector of names. If missing, all parameters are considered.

level

confidence level, with default value of 0.95

prob

percentiles, with default giving symmetric 95% confidence intervals

print

should a summary be printed. Default to FALSE.

method

string for the method, either cobs (constrained robust B-spline from eponym package) or smooth.spline

...

additional arguments passed to functions. Providing a logical warn=FALSE turns off warning messages when the lower or upper confidence interval for psi are extrapolated beyond the provided calculations.

Value

returns a 2 by 3 matrix containing point estimates, lower and upper confidence intervals based on the likelihood root and modified version thereof