Displaying 1 result from an estimated 1 matches for "gev2frechet".
2009 Jul 22
0
Extreme Value Bivariate Point Process Model
...cale (Figure 8.6 of Coles book). Here is what I am doing:
library(ismev)
data(wavesurge)
wave <- wavesurge[,1]
surge <- wavesurge[,2]
plot(wave,surge, pch=20) ## reproduces Coles fig 1.11
## do the GEV fit
w <- gev.fit(wave)
s <- gev.fit(surge)
### Transform to frechet variable using
GEV2frechet <- function (x, loc, scale, shape)
pmax(1 + shape * (x - loc)/scale, 0)^(1/shape)
Zw <- GEV2frechet(wave,w$mle[1],w$mle[2],w$mle[3])
Zs <- GEV2frechet(surge,s$mle[1],s$mle[2],s$mle[3])
## Check point distribution with Figure 8.6
plot(log(Zw),log(Zs),pch=20)
### Very different
The above...