rlevel.gev {evir} | R Documentation |
Calculates the k-block return level and 95% confidence interval based on a GEV model for block maxima, where k is specified by the user. The k-block return level is that level exceeded once every k blocks, on average.
rlevel.gev(out, k.blocks = 20, add = FALSE, ...)
out |
an object returned by the function |
k.blocks |
specifies the particular return level to be estimated; default set arbitrarily to 20 |
add |
whether the return level should be added graphically
to a time series plot; if |
... |
other graphics parameters |
The GEV likelihood is reparameterized in terms of the unknown return level and profile likelihood arguments are used to construct a confidence interval.
Vector containing lower 95% bound of confidence interval, estimated return level and upper 95% bound.
data(bmw)
out <- gev(bmw, "month")
# Fit GEV to monthly maxima of daily returns on BMW share price
## Not run: rlevel.gev(out, 40)
# Calculate the 40 month return level