R: Confidence/Credible Intervals for Effective Return Levels

ci.rl.ns.fevd.bayesian {extRemes} | R Documentation

## Confidence/Credible Intervals for Effective Return Levels

### Description

Calculates credible intervals based on the upper and lower alpha/2 quantiles of the MCMC sample for effective return levels from a non-stationary EVD fit using Bayesian estimation, or find normal approximation confidence intervals if estimation method is MLE.

### Usage

    ## S3 method for class 'rl.ns.fevd.bayesian'
    ci(x, alpha = 0.05, return.period = 100, FUN = "mean",
                     burn.in = 499, ..., qcov = NULL, qcov.base = NULL,
                     verbose = FALSE)

    ## S3 method for class 'rl.ns.fevd.mle'
    ci(x, alpha = 0.05, return.period = 100, method =
                     c("normal"), verbose = FALSE, qcov = NULL, qcov.base =
                     NULL, ...)

### Arguments

`x` | An object of class “fevd”.
`alpha` | Confidence level (numeric).
`return.period` | numeric giving the desired return period. Must have length one!
`FUN` | character string naming the function to use to calculate the estimated return levels from the posterior sample (default takes the posterior mean).
`burn.in` | The first `burn.in` iterations will be removed from the posterior sample before calculating anything.
`method` | Currently only “normal” method is implemented.
`verbose` | logical, should progress information be printed to the screen? Currently not used by the MLE method.
`...` | Not used.
`qcov, qcov.base` | Matrix giving specific covariate values. `qcov.base` is used if difference betwen effective return levels for two (or more) sets of covariates is desired, where it is rl(qcov) - rl(qcov.base). See `make.qcov` for more details. If not supplied, effective return levels are calculated for all of the original covariate values used for the fit. If `qcov.base` is not NULL but `qcov` is NULL, then `qcov` takes on the values of `qcov.base` and `qcov.base` is set to NULL, and a warning message is produced.

### Details

Return levels are calculated for all coavariates supplied by `qcov` (and, if desired, `qcov.base`) for all values of the posterior sample (less the `burn.in`), or for all values of the original covariates used for the fit (if `qcov` and `qcov.base` are NULL). The estimates aree taken from the sample according to `FUN` and credible intervals are returned according to `alpha`.

### Value

A three-column matrix is returned with the estimated effective return levels in the middle and lower and upper to the left and right.

### Author(s)

Eric Gilleland

### See Also

`make.qcov`, `fevd`, `ci.fevd`, `return.level`

### Examples

    data(Fort)
    fit <- fevd(Prec, threshold = 2, data = Fort,
        location.fun = ~cos(2 * pi * day /365.25),
        type = "PP", verbose = TRUE)

    v <- make.qcov(fit, vals=list(mu1 = c(cos(2 * pi * 1 /365.25),
        cos(2 * pi * 120 /365.25), cos(2 * pi * 360 /365.25))))

    ci(fit, return.period = 100, qcov = v)

    ## Not run:
    fit <- fevd(Prec, threshold = 2, data = Fort,
        location.fun = ~cos(2 * day /365.25),
        type = "PP", method = "Bayesian", verbose = TRUE)

    ci(fit, return.period = 100, qcov = v)

    ## End(Not run)

[Package extRemes version 2.0-9 Index]