R: Maximum-likelihood Fitting of the Generalized Extreme Value...

fgev {evd} | R Documentation

## Maximum-likelihood Fitting of the Generalized Extreme Value Distribution

### Description

Maximum-likelihood fitting for the generalized extreme value distribution, including linear modelling of the location parameter, and allowing any of the parameters to be held fixed if desired.

### Usage

    fgev(x, start, ..., nsloc = NULL, prob = NULL, std.err = TRUE,
        corr = FALSE, method = "BFGS", warn.inf = TRUE)

### Arguments

`x` | A numeric vector, which may contain missing values.
`start` | A named list giving the initial values for the parameters over which the likelihood is to be maximized. If `start` is omitted the routine attempts to find good starting values using moment estimators.
`...` | Additional parameters, either for the GEV model or for the optimization function `optim`. If parameters of the model are included they will be held fixed at the values given (see Examples).
`nsloc` | A data frame with the same number of rows as the length of `x`, for linear modelling of the location parameter. The data frame is treated as a covariate matrix (excluding the intercept). A numeric vector can be given as an alternative to a single column data frame.
`prob` | Controls the parameterization of the model (see Details). Should be either `NULL` (the default), or a probability in the closed interval [0,1].
`std.err` | Logical; if `TRUE` (the default), the standard errors are returned.
`corr` | Logical; if `TRUE`, the correlation matrix is returned.
`method` | The optimization method (see `optim` for details).
`warn.inf` | Logical; if `TRUE` (the default), a warning is given if the negative log-likelihood is infinite when evaluated at the starting values.

### Details

If `prob` is `NULL` (the default):

For stationary models the parameter names are `loc`, `scale` and `shape`, for the location, scale and shape parameters respectively. For non-stationary models, the parameter names are `loc`, `loc`x1, ..., `loc`xn, `scale` and `shape`, where x1, ..., xn are the column names of `nsloc`, so that `loc` is the intercept of the linear model, and `loc`x1, ..., `loc`xn are the `ncol(nsloc)` coefficients. If `nsloc` is a vector it is converted into a single column data frame with column name `trend`, and hence the associated trend parameter is named `loctrend`.

If \code{prob} = p is a probability:

The fit is performed using a different parameterization. Let a, b and s denote the location, scale and shape parameters of the GEV distribution. For stationary models, the distribution is parameterized using (z_p,b,s), where

z_p = a - b/s (1 - (-log(1 - p))^s)

is such that G(z_p) = 1 - p, where G is the GEV distribution function. \code{prob} = p is therefore the probability in the upper tail corresponding to the quantile z_p. If `prob` is zero, then z_p is the upper end point a - b/s, and s is restricted to the negative (Weibull) axis. If `prob` is one, then z_p is the lower end point a - b/s, and s is restricted to the positive (Frechet) axis. The parameter names are `quantile`, `scale` and `shape`, for z_p, b and s respectively.

For non-stationary models the parameter z_p is again given by the equation above, but a becomes the intercept of the linear model for the location parameter, so that `quantile` replaces (the intercept) `loc`, and hence the parameter names are `quantile`, `loc`x1, ..., `loc`xn, `scale` and `shape`, where x1, ..., xn are the column names of `nsloc`.

In either case:

For non-stationary fitting it is recommended that the covariates within the linear model for the location parameter are (at least approximately) centered and scaled (i.e.\ that the columns of `nsloc` are centered and scaled), particularly if automatic starting values are used, since the starting values for the associated parameters are then zero.

### Value

Returns an object of class `c("gev","uvevd","evd")`.

The generic accessor functions `fitted` (or `fitted.values`), `std.errors`, `deviance`, `logLik` and `AIC` extract various features of the returned object.

The functions `profile` and `profile2d` are used to obtain deviance profiles for the model parameters. In particular, profiles of the quantile z_p can be calculated and plotted when \code{prob} = p. The function `anova` compares nested models. The function `plot` produces diagnostic plots.

An object of class `c("gev","uvevd","evd")` is a list containing at most the following components

`estimate` | A vector containing the maximum likelihood estimates.
`std.err` | A vector containing the standard errors.
`fixed` | A vector containing the parameters of the model that have been held fixed.
`param` | A vector containing all parameters (optimized and fixed).
`deviance` | The deviance at the maximum likelihood estimates.
`corr` | The correlation matrix.
`var.cov` | The variance covariance matrix.
`convergence, counts, message` | Components taken from the list returned by `optim`.
`data` | The data passed to the argument `x`.
`tdata` | The data, transformed to stationarity (for non-stationary models).
`nsloc` | The argument `nsloc`.
`n` | The length of `x`.
`prob` | The argument `prob`.
`loc` | The location parameter. If `prob` is `NULL` (the default), this will also be an element of `param`.
`call` | The call of the current function.

### Warning

The standard errors and the correlation matrix in the returned object are taken from the observed information, calculated by a numerical approximation. They must be interpreted with caution when the shape parameter is less than -0.5, because the usual asymptotic properties of maximum likelihood estimators do not then hold (Smith, 1985).

### References

Smith, R. L. (1985) Maximum likelihood estimation in a class of non-regular cases. Biometrika, 72, 67–90.

### See Also

`anova.evd`, `optim`, `plot.uvevd`, `profile.evd`, `profile2d.evd`

### Examples

    uvdata <- rgev(100, loc = 0.13, scale = 1.1, shape = 0.2)
    trend <- (-49:50)/100
    M1 <- fgev(uvdata, nsloc = trend, control = list(trace = 1))
    M2 <- fgev(uvdata)
    M3 <- fgev(uvdata, shape = 0)
    M4 <- fgev(uvdata, scale = 1, shape = 0)
    anova(M1, M2, M3, M4)
    par(mfrow = c(2,2))
    plot(M2)
    ## Not run: M2P <- profile(M2)
    ## Not run: plot(M2P)

    rnd <- runif(100, min = -.5, max = .5)
    fgev(uvdata, nsloc = data.frame(trend = trend, random = rnd))
    fgev(uvdata, nsloc = data.frame(trend = trend, random = rnd), locrandom = 0)

    uvdata <- rgev(100, loc = 0.13, scale = 1.1, shape = 0.2)
    M1 <- fgev(uvdata, prob = 0.1)
    M2 <- fgev(uvdata, prob = 0.01)
    ## Not run: M1P <- profile(M1, which = "quantile")
    ## Not run: M2P <- profile(M2, which = "quantile")
    ## Not run: plot(M1P)
    ## Not run: plot(M2P)

[Package evd version 2.3-5 Index]