gumbelp {MCMC4Extremes} | R Documentation |
MCMC runs of posterior distribution of data with parameters of Generalized Extreme Value (GEV)
density, in the particular case where xi=0
with parameters mu
, sigma
.
gumbelp(data, block, int=1000)
data |
data vector |
block |
the block size. A numeric value is interpreted as the number of data values in each successive block. All the data is used, so the last block may not contain block observations. |
int |
number of iteractions selected in MCMC. The program selects 1 in each 10
iteraction, then |
An object of class gumbelp
that gives a list containing the points of posterior distributions of mu
and sigma
of the gev distribution, the data, mean posterior, median posterior and the credibility interval of the parameters.
The non-informative prior distribution of these parameters are Normal(0,1000)
for the
parameter mu
and Gamma(0.001,0.001)
for the parameter sigma
. During the MCMC runs, screen
shows the proportion of iteractions made.
# Obtaining posterior distribution of a vector of simulated points
x=rgev(200,xi=0.0001,mu=10,sigma=5)
# Obtaning 600 points of posterior distribution
ajuste=gumbelp(x,1,600)
# Maxima of each month in river nidd data
## Not run: data(nidd.annual)
## Not run: out=gumbelp(nidd.annual,1,500)
# Predictive distribution for 15 day maxima ibovespa returns
## Not run: data(ibovespa)
## Not run: postibv=gumbelp(ibovespa[,4],15,500)