The T-return level is defined as the value of the observed variable that can be expected to be once exceeded during a T-period of time. This is computed as the quantile of the distribution, corresponding to the value F^{-1}(1-frac{1}{T}).
PBbw
(Package: kerdiest) :
Computes the plug-in bandwidth of Polansky and Baker.
The bandwidth parameter for the distribution function kernel estimator is calculated, using the plug-in method of Polansky and Baker (2000). Four possible kernel functions can be used for the kernel estimator: "e" Epanechnikov, "n" Normal, "b" Biweight and "t" Triweight. Because kernel estimators of derivatives of order bigger than two are required, only the normal kernel is used in this case.
Nonparametric kernel distribution function estimation for continuous random variables is performed. Three automatic bandwidth selection procedures for nonparametric kernel distribution function estimation are implemented: the plug-in method of Altman and Leger, the plug-in method of Polansky and Baker, and the modified cross-validation method of Bowman, Hall and Prvan. The exceedance function, the mean return period and the return level are also computed.
Computes the value of the kernel estimator of the distribution function, in a single value or in a grid. Four possibilites for the kernel function are implemented, and the bandwidth parameter can be directly calculated by the plug-in method of Polansky and Baker (2000).
● Data Source:
CranContrib
● Keywords: nonparametric, smooth
● Alias: kde
●
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We compute the exceedance probability, that is, the probability that a specified value c (a magnitude of a seismic event, a flow level... ) will be exceeded in D time units.
● Data Source:
CranContrib
● Keywords: nonparametric, smooth
● Alias: ef
●
0 images
The bandwidth parameter for the distribution function kernel estimator is calculated, using the modified cross-validation method of Bowman, Hall and Prvan (1998). Four possible kernel functions can be used: "e" Epanechnikov, "n" Normal, "b" Biweight and "t" Triweight. The cross-validation function involves an integral term, that is calculated using the Simpson's rule.
ALbw
(Package: kerdiest) :
Computes the plug-in bandwidth of Altman and Leger.
The bandwidth parameter for the distribution function kernel estimator is calculated, using the plug-in method of Altman and Leger (1995). Four possible kernel functions can be used for the kernel estimator: "e" Epanechnikov, "n" Normal, "b" Biweight and "t" Triweight.
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