R help - Jun 2012 - lmomco in gev estimation

Hi guys,

I'm trying to use lmomco package. first I did the manual calculation on
what is the estimates scale and location parameter given L-CV=0.2, L1=1000
L-moments and k (shape parameter) =- 0.1. so what i get is:

location: 821.0445
scale:    260.7590
shape:    -0.1000

#I assign this as GEV vectors using vec2par
GEVpara2<-vec2par(c( 821.0445 , 260.7590 ,-0.1),'gev')

#then I generate some data series using the GEV vectors:
why<-rgev(150,xi=  -0.1000 ,mu= 821.0445,sigma=  260.7590 ) #where xi=shape
parameter

#then I try to estimate the GEV parameters by L-moments of the generated
series
whyr<-pargev(lmom.ub(why))
whyr

#what I get was a very bias estimate of k (here xi is location)
         xi       alpha       kappa
835.7773068 275.4656939   0.1683969

#even when I replicates it 1000 times and fit into the distribution, the
shape parameter is still not near to -0.1, but it is going near to the
nonnegative value (0.1 rather than -0.1)

          xi        alpha        kappa
820.89316109 259.45826487   0.09621897

can somebody help me?

	[[alternative HTML version deleted]]

Hi Al Ehan,

Alternatively you can gev.fit functions under the packages "ismev" and
"extRemes".

Hope these help you.
Ozgur

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On 2012-06-19 23:33, Al Ehan wrote:
> Hi guys,
>
> I'm trying to use lmomco package. first I did the manual calculation on
> what is the estimates scale and location parameter given L-CV=0.2, L1=1000
> L-moments and k (shape parameter) =- 0.1. so what i get is:
>
> location: 821.0445
> scale:    260.7590
> shape:    -0.1000
>
> #I assign this as GEV vectors using vec2par
> GEVpara2<-vec2par(c( 821.0445 , 260.7590 ,-0.1),'gev')
>
> #then I generate some data series using the GEV vectors:
> why<-rgev(150,xi=  -0.1000 ,mu= 821.0445,sigma=  260.7590 ) #where
xi=shape
> parameter
>
> #then I try to estimate the GEV parameters by L-moments of the generated
> series
> whyr<-pargev(lmom.ub(why))
> whyr
>
> #what I get was a very bias estimate of k (here xi is location)
>           xi       alpha       kappa
> 835.7773068 275.4656939   0.1683969
>
> #even when I replicates it 1000 times and fit into the distribution, the
> shape parameter is still not near to -0.1, but it is going near to the
> nonnegative value (0.1 rather than -0.1)
>
>            xi        alpha        kappa
> 820.89316109 259.45826487   0.09621897
>
> can somebody help me?
It's just a matter of how the shape parameter is defined. Look at
the cdf definition in the lmomco help and compare with that
found in Wiki which presumably is what's being used by whatever
(unstated) package your rgev() is from.
lmomco's shape = -(shape used by rgev).

Peter Ehlers