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wavesurfer
2009 Jul 22
0
Extreme Value Bivariate Point Process Model
...ow
level in being unable to reproduce the initial step of transforming the
data to unit Frechet margins. In particular, I am unable to
reproduce the wave-surge pairs distribution after transformation to
Frechet scale (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)^...