Lecture 3

Package ‘extRemes’
June 11, 2018

Version 2.0-9
Date 2018-06-11
Title Extreme Value Analysis
Author Eric Gilleland
Maintainer Eric Gilleland <[email protected]>
Depends R (>= 2.10.0), Lmoments, distillery (>= 1.0-4), car
Imports graphics, stats
Suggests fields
Description Functions for performing extreme value analysis.
License GPL (>= 2)
URL http://www.ral.ucar.edu/staff/ericg/extRemes
NeedsCompilation yes
Repository CRAN
Date/Publication 2018-06-11 18:46:04 UTC
R topics documented:
extRemes-package . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3
abba . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5
atdf . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8
BayesFactor . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10
blockmaxxer . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12
CarcasonneHeat . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13
ci.fevd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15
ci.rl.ns.fevd.bayesian . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19
damage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20
datagrabber.declustered . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21
decluster . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23
Denmint . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27
Denversp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27
devd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28
1
2 R topics documented:
distill.fevd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 32
erlevd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 34
extremalindex . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 36
FCwx . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 38
fevd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 39
findAllMCMCpars . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 59
findpars . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 60
Flood . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 62
Fort . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 63
fpois . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 64
ftcanmax . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 66
HEAT . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 67
hwmi . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 68
hwmid . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 70
is.fixedfevd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 73
levd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 74
lr.test . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 76
make.qcov . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 78
mrlplot . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 79
Ozone4H . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 81
parcov.fevd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 82
Peak . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 83
pextRemes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 84
PORTw . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 89
postmode . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 90
Potomac . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 91
profliker . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 92
qqnorm . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 93
qqplot . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 95
return.level . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 97
revtrans.evd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 101
rlevd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 102
Rsum . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 104
shiftplot . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 105
strip . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 107
taildep . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 108
taildep.test . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 110
threshrange.plot . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 112
Tphap . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 114
trans . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 115
Index 118
extRemes-package 3
extRemes-package extRemes – Weather and Climate Applications of Extreme Value Anal-

ysis (EVA)
Description
extRemes is a suite of functions for carrying out analyses on the extreme values of a process of
interest; be they block maxima over long blocks or excesses over a high threshold.
Versions >= 2.0-0 of this package differ considerably from the original package (versions <= 1.65),
which was largely a package of graphical user interfaces (GUIs) mostly calling functions from
the ismev package; a companion software package to Coles (2001). The former GUI windows of
extRemes (<= 1.65) now run the command-line functions of extRemes (>= 2.0) and have been
moved to a new package called in2extRemes.
For assistance using extRemes (>= 2.0-0), please see the tutorial at:
https://www.jstatsoft.org/article/view/v072i08
Extreme Value Statistics:
Extreme value statistics are used primarily to quantify the stochastic behavior of a process at unusu-
ally large (or small) values. Particularly, such analyses usually require estimation of the probability
of events that are more extreme than any previously observed. Many fields have begun to use
extreme value theory and some have been using it for a very long time including meteorology, hy-
drology, finance and ocean wave modeling to name just a few. See Gilleland and Katz (2011) for a
brief introduction to the capabilities of extRemes.
Example Datasets:
There are several example datasets included with this toolkit. In each case, it is possible to load
these datasets into R using the data function. Each data set has its own help file, which can be
accessed by help([name of dataset]). Data included with extRemes are:
Denmint – Denver daily minimum temperature.
Flood.dat – U.S. Flood damage (in terms of monetary loss) (’dat’ file used as example of reading in
common data using the extRemes dialog).
ftcanmax – Annual maximum precipitation amounts at one rain gauge in Fort Collins, Colorado.
HEAT – Summer maximum (and minimum) temperature at Phoenix Sky Harbor airport.
Ozone4H.dat – Ground-level ozone order statistics from 1997 from 513 monitoring stations in the
eastern United States.
PORTw – Maximum and minimum temperature data (and some covariates) for Port Jervis, New
York.
Rsum – Frequency of Hurricanes.
SEPTsp – Maximum and minimum temperature data (and some covariates) for Sept-Iles, Quebec.
damage – Hurricane monetary damage.
Denversp – Denver precipitation.
FCwx – data frame giving daily weather data for Fort Collins, Colorado, U.S.A. from 1900 to 1999.
4 extRemes-package
Flood – R source version of the above mentioned ’Flood.dat’ dataset.

Fort – Precipitation amounts at one rain gauge in Fort Collins, Colorado.
Peak – Salt River peak stream flow.
Potomac – Potomac River peak stream flow.
Tphap – Daily maximum and minimum temperatures at Phoenix Sky Harbor Airport.
Primary functions available in extRemes include:
fevd: Fitting extreme value distribution functions (EVDs: GEV, Gumbel, GP, Exponential, PP) to
data (block maxima or threshold excesses).
ci: Method function for finding confidence intervals for EVD parameters and return levels.
taildep: Estimate chi and/or chibar; statistics that inform about tail dependence between two
variables.
atdf: Auto-tail dependence function and plot. Helps to inform about possible dependence in the
extremes of a process. Note that a process that is highly correlated may or may not be dependent in
the extremes.
decluster: Decluster threshold exceedance in a data set to yield a new related process that is more
closely independent in the extremes. Includes two methods for declustering both of which are based
on runs declustering.
extremalindex: Estimate the extremal index, a measure of dependence in the extremes. Two
methods are available, one based on runs declustering and the other is the intervals estiamte of
Ferro and Segers (2003).
devd, pevd, qevd, revd: Functions for finding the density, cumulative probability distribution
(cdf), quantiles and make random draws from EVDs.
pextRemes, rextRemes, return.level: Functions for finding the cdf, make random draws from,
and find return levels for fitted EVDs.
To see how to cite extRemes in publications or elsewhere, use citation("extRemes").
Acknowledgements
Funding for extRemes was provided by the Weather and Climate Impacts Assessment Science
(WCIAS, http://www.assessment.ucar.edu/) Program at the National Center for Atmospheric
Research (NCAR) in Boulder, Colorado. WCIAS is funded by the National Science Foundation
(NSF). The National Center for Atmospheric Research (NCAR) is operated by the nonprofit Uni-
versity Corporation for Atmospheric Research (UCAR) under the sponsorship of the NSF. Any
opinions, findings, conclusions, or recommendations expressed in this publication/software pack-
age are those of the author(s) and do not necessarily reflect the views of the NSF.
References
Coles, S. (2001) An introduction to statistical modeling of extreme values, London, U.K.: Springer-
Verlag, 208 pp.
Ferro, C. A. T. and Segers, J. (2003). Inference for clusters of extreme values. Journal of the Royal
Statistical Society B, 65, 545–556.
Gilleland, E. and Katz, R. W. (2011). New software to analyze how extremes change over time.
Eos, 11 January, 92, (2), 13–14.
abba 5
abba Implementation of Stephenson-Shaby-Reich-Sullivan
Description
Implements MCMC methodology for fitting spatial extreme value models using Stephenson et al.
(2014). Experimental.
Usage
abba(y, sites, iters, Qb = NULL, knots = sites, X = cbind(1, sites),
beta = NULL, alpha = 0.5, logbw = 0, tau = c(1, 1, 1),
logs = matrix(0, nrow = nf, ncol = nt),
u = matrix(0.5, nrow = nf, ncol = nt),
MHbeta = matrix(rep(c(0.15, 0.03, 0.015), each = n), ncol = 3),
MHalpha = 0.01, MHlogbw = 0,
MHs = matrix(0.5, nrow = nf, ncol = nt),
MHu = matrix(2.5, nrow = nf, ncol = nt),
pribeta = c(10, 10, 10), prialpha = c(1, 1), prilogbw = c(0, 1),
pritau = c(0.1, 0.1, 0.1), trace = 0)
abba_latent(y, sites, iters, Qb = NULL, X = cbind(1, sites),
beta = NULL, tau = c(1, 1, 1),
MHbeta = matrix(rep(c(0.15, 0.03, 0.015), each = n), ncol = 3),
pribeta = c(10, 10, 10), pritau = c(0.1, 0.1, 0.1), trace = 0)
Arguments
y A numeric matrix. The data for the ith site should be in the ith row. Missing
values are allowed, however each site must have at least one non-missing value.
If starting values for beta are not specified, then each site must have at least two
non-missing values.
sites A numeric matrix with 2 columns giving site locations. It is best to normalized
the columns.
iters The number of iterations in the MCMC chain.
Qb A symmetric non-negative definite neighbourhood matrix. If not specified, the
off-diagonal elements are taken to be proportional to the negative inverse of
the squared Euclidean distance, with the diagonal elements specified so that
the rows and columns sum to zero. It is probably better to specify your own
neighbourhood structure. Note that this implementation does not explicitly take
advantage of any sparsity, so having a large numbers of zeros will not necessarily
speed things up.
knots A numeric matrix with 2 columns giving knot locations. By default the knots
are taken to be the site locations.
X The design matrix or matrices of the GEV parameters. Should be a list of length
three containing design matrices for the location, log scale and shape respec-
tively. Can also be a matrix, which is then used by all three parameters. By
6 abba
default, an intercept and the 2 columns in sites are used. Note that the in-
tercept will not be affected by the data if the rows and columns of Qb sum to
zero.
beta A matrix with 3 columns with GEV parameter starting values for every site. If
not specified, marginal method of moment estimators, assuming a zero shape,
are used.
alpha Starting value for alpha.
logbw Starting value for the log bandwidth.
tau Starting values for tau, for the three GEV parameters. This is the inverse of
the delta values in the publication, so a lack of variation corresponds to large
values. Since the posterior for the tau values has a closed form, this argument is
relatively unimportant as it usually affects only the first couple of iterations.
logs A matrix with rows equal to the number of knots and columns equal to the
number of columns in y. Gives the starting values for the log of the positve
stable variables.
u A matrix with rows equal to the number of knots and columns equal to the
number of columns in y. Gives the starting values for the U variables.
MHbeta A matrix with 3 columns with GEV parameter jump standard deviations for
every site.
MHalpha Jump standard deviation value for alpha. It can be set to zero to fix alpha at the
starting value.
MHlogbw Jump standard deviation value for the log bandwidth. It can be set to zero to fix
the bandwidth at the starting value.
MHs A matrix with rows equal to the number of knots and columns equal to the
number of columns in y. Gives the jump standard deviations for the log of
the positve stable variables. It can be challenging to specify this to make the
acceptance rates reasonable.
MHu A matrix with rows equal to the number of knots and columns equal to the
number of columns in y. Gives the jump standard deviations for the U variables.
pribeta A vector of length three giving prior parameters for the three beta vectors. For
simplicity each beta has a MVN(0, pI) prior, where p is a single parameter and I
is the identity matrix of dimension corresponding to X.
prialpha Shape1 and shape2 parameters of the prior beta distribution for alpha. See
rbeta.
prilogbw Mean and standard deviation parameters for the prior normal distribution for log
bandwidth. See rnorm.
pritau A vector of length three giving prior parameters for each of the three taus. For
simplicity each tau has a beta(p,p) prior, where p is a single parameter, equal to
both shape1 and shape2.See rbeta.
trace Prints the log posterior density after every trace iterations. Use zero to supress
printing.
abba 7
Details
The function abba implements the method of Stephenson et al. (2014), which is a variation of Reich
and Shaby (2012). The function abba_latent implements a standard latent variable approach
which is a special case of abba, obtained when the parameter alpha is equal to one.
The function abba can be challenging to implement. In particular, it can be difficult to specify MHs
to achieve suitable acceptance rates for all positive stable random variables. Also, alpha and the
bandwidth may mix slowly. It is recommended that (i) the variables in sites, knots and X are
standardized, and that (ii) the function abba_latent be used first in order to pass on good starting
values to abba, and that (iii) you consider fixing either alpha or the bandwidth if there is slow
mixing.
Value
A list object with the following components
beta.samples A three dimensional array containing the simulated GEV parameter values for
each site. The first dimension is the number of iterations, the second is the num-
ber of sites, and the third corresponds to the three GEV parameters of location,
log scale and shape.
param.samples A matrix containing the linear predictor and tau parameters, and for abba also
alpha and log bandwidth. The last column contains log posterior values.
psrv.samples Only exists for function abba. A three dimensional array containing the simu-
lated postive stable variables. The first dimension is the number of iterations,
the second is the number of knots, and the third is the number of columns in y.
urv.samples Only exists for function abba. A three dimensional array containing the simu-
lated U variables. The first dimension is the number of iterations, the second is
the number of knots, and the third is the number of columns in y.
References
Stephenson, A. G., Shaby, B.A., Reich, B.J. and Sullivan, A.L. (2015). Estimating spatially varying
severity thresholds of the forest fire danger rating system using max-stable extreme event modelling.
Journal of Applied Meteorology and Climatology. In Press.
Reich, B.J. and Shaby, B.A. (2012). A hierarchical max-stable spatial model for extreme precipita-
tion. Ann. Appl. Stat. 6(4), 1430-1451
See Also
rbeta, rnorm
Examples
dat <- matrix(-log(rexp(9 * 20)), nrow = 9, ncol = 20)
sites <- cbind(rep(c(-1,0,1),3), rep(c(-1,0,1),each = 3))
abba_latent(dat, sites, iters = 50, trace = 10)
8 atdf
atdf Auto-Tail Dependence Function
Description
Computes (and by default plots) estimates of the auto-tail dependence function(s) (atdf) based on
either chi (rho) or chibar (rhobar), or both.
Usage
atdf(x, u, lag.max = NULL, type = c("all", "rho", "rhobar"), plot = TRUE,
na.action = na.fail, ...)
## S3 method for class 'atdf'

plot(x, type = NULL, ...)
Arguments
x For atdf: a univariate time series object or a numeric vector. For the plot
method function, a list object of class “atdf”.
u numeric between 0 and 1 (non-inclusive) determining the level F^(-1)(u) over
which to compute the atdf. Typically, this should be close to 1, but low enough
to incorporate enough data.
lag.max The maximum lag for which to compute the atdf. Default is 10*log10(n), where
n is the length of the data. Will be automatically limited to one less than the total
number of observations in the series.
type character string stating which type of atdf to calculate/plot (rho, rhobar or both).
If NULL the plot method function will take the type to be whatever was passed
to the call to atdf. If “all”, then a 2 by 1 panel of two plots are graphed.
plot logical, should the plot be made or not? If TRUE, output is returned invisibly.
If FALSE, output is returned normally.
na.action function to be called to handle missing values.
... Further arguments to be passed to the plot method function or to plot. Note
that if main, xlab or ylab are used with type “all”, then the labels/title will be
applied to both plots, which is probably not desirable.
Details
The tail dependence functions are those described in, e.g., Reiss and Thomas (2007) Eq (2.60) for
"chi" and Eq (13.25) "chibar", and estimated by Eq (2.62) and Eq (13.28), resp. See also, Sibuya
(1960) and Coles (2001) sec. 8.4, as well as other texts on EVT such as Beirlant et al. (2004) sec.
9.4.1 and 10.3.4 and de Haan and Ferreira (2006).
Specifically, for two series X and Y with associated df’s F and G, chi, a function of u, is defined as
chi(u) = Pr[Y > G^(-1)(u) | X > F^(-1)(u)] = Pr[V > u | U > u],
atdf 9
where (U,V) = (F(X),G(Y))–i.e., the copula. Define chi = limit as u goes to 1 of chi(u).
The coefficient of tail dependence, chibar(u) was introduced by Coles et al. (1999), and is given by
chibar(u) = 2*log(Pr[U > u])/log(Pr[U > u, V > u]) - 1.
Define chibar = limit as u goes to 1 of chibar(u).
The auto-tail dependence function using chi(u) and/or chibar(u) employs X against itself at different
lags.
The associated estimators for the auto-tail dependence functions employed by these functions are
based on the above two coefficients of tail dependence, and are given by Reiss and Thomas (2007)
Eq (2.65) and (13.28) for a lag h as
rho.hat(u, h) = sum(min(x_i, x_i+h) > sort(x)[floor(n*u)])/(n*(1-u)) [based on chi]
and
rhobar.hat(u, h) = 2*log(1 - u)/log(sum(min(x_i,x_i+h) > sort(x)[floor(n*u)])/(n - h)) - 1.
Some properties of the above dependence coefficients, chi(u), chi, and chibar(u) and chibar, are that
0 <= chi(u), chi <= 1, where if X and Y are stochastically independent, then chi(u) = 1 - u, and
chibar = 0. If X = Y (perfectly dependent), then chi(u) = chi = 1. For chibar(u) and chibar, we
have that -1 <= chibar(u), chibar <= 1. If U = V, then chibar = 1. If chi = 0, then chibar < 1 (tail
independence with chibar determining the degree of dependence).
Value
A list object of class “atdf” is returned with components:
call The function calling string.
type character naming the type of atdf computed.
series character string naming the series used.
lag numeric vector giving the lags used.
atdf numeric vector or if type is “all”, two-column matrix giving the estimated auto-
tail dependence function values.
The plot method functoin does not return anything.
Author(s)
Eric Gilleland
References
Beirlant, J., Goegebeur, Y., Teugels, J. and Segers, J. (2004) Statistics of Extremes: Theory and
Applications. Chichester, West Sussex, England, UK: Wiley, ISBN 9780471976479, 522pp.
Verlag, 208 pp.
Coles, S., Heffernan, J. E., and Tawn, J. A. (1999) Dependence measures for extreme value analyses.
Extremes, 2, 339–365.
de Haan, L. and Ferreira, A. (2006) Extreme Value Theory: An Introduction. New York, NY, USA:
Springer, 288pp.
10 BayesFactor
Reiss, R.-D. and Thomas, M. (2007) Statistical Analysis of Extreme Values: with applications to
insurance, finance, hydrology and other fields. Birkh\"auser, 530pp., 3rd edition.
Sibuya, M. (1960) Bivariate extreme statistics. Ann. Inst. Math. Statist., 11, 195–210.
See Also
acf, pacf, taildep, taildep.test
Examples
z <- arima.sim(n = 63, list(ar = c(0.8897, -0.4858), ma = c(-0.2279, 0.2488)),
sd = sqrt(0.1796))
hold <- atdf(z, 0.8, plot=FALSE)
par(mfrow=c(2,2))
acf(z, xlab="")
pacf(z, xlab="")
plot(hold, type="chi")
plot(hold, type="chibar")
y <- cbind(z[2:63], z[1:62])

y <- apply(y, 1, max)
hold2 <- atdf(y, 0.8, plot=FALSE)
par(mfrow=c(2,2))
acf(y, xlab="")
pacf(y, xlab="")
plot(hold2, type="chi")
plot(hold2, type="chibar")
## Not run:
data(Fort)
atdf(Fort[,5], 0.9)
data(Tphap)
atdf(Tphap$MaxT, 0.8)
data(PORTw)
atdf(PORTw$TMX1, u=0.9)
atdf(PORTw$TMX1, u=0.8)
## End(Not run)
BayesFactor Estimate Bayes Factor
Description
Estimate Bayes factor between two models for two “fevd” objects.
BayesFactor 11
Usage
BayesFactor(m1, m2, burn.in = 499, FUN = "postmode",

method = c("laplace", "harmonic"), verbose = FALSE)
Arguments
m1, m2 objects of class “fevd” giving the two models to be compared.

burn.in numeric how many of the first several iterations from the MCMC sample to
throw away before estimating the Bayes factor.
FUN function to be used to determine the estimated parameter values from the MCMC
sample. With the exception of the default (posterior mode), the function should
operate on a matrix and return a vector of length equal to the number of param-
eters. If “mean” is given, then colMeans is actually used.
method Estimation method to be used.
verbose logical, should progress information be printed to the screen (no longer neces-
sary).
Details
Better options for estimating the Bayes factor from an MCMC sample are planned for the future.
The current options are perhaps the two most common, but do suffer from major drawbacks. See
Kass and Raftery (1995) for a review.
Value
A list object of class “htest” is returned with components:
statistic The estimated Bayes factor.

method character string naming which estimation method was used.
data.name character vector naming the models being compared.
Author(s)
Eric Gilleland
References
Kass, R. E. and Raftery, A. E. (1995) Bayes factors. J American Statistical Association, 90 (430),
773–795.
See Also
fevd
12 blockmaxxer
Examples
data(PORTw)
fB <- fevd(TMX1, PORTw, method = "Bayesian", iter = 500)
fB2 <- fevd(TMX1, PORTw, location.fun = ~AOindex,
method = "Bayesian", iter = 500)
BayesFactor(fB, fB2, burn.in = 100, method = "harmonic")
blockmaxxer Find Block Maxima
Description
Find the block maximum of a data set.
Usage
blockmaxxer(x, ...)
## S3 method for class 'data.frame'

blockmaxxer(x, ..., which = 1, blocks = NULL,
blen = NULL, span = NULL)
## S3 method for class 'fevd'

blockmaxxer(x, ...)
## S3 method for class 'matrix'

blockmaxxer(x, ..., which = 1, blocks = NULL,
blen = NULL, span = NULL)
## S3 method for class 'vector'

blockmaxxer(x, ..., blocks = NULL, blen = NULL,
span = NULL)
Arguments
x An object of class “fevd” where the fit is for a PP model, a numeric vector,
matrix or data frame.
... optional arguments to max.
which number or name of a column indicating for which column to take the block
maxima. Note, this does not take componentwise maxima (as in the multivariate
setting). Instead, it takes the maxima for a single column and returns a vector,
data frame or matrix of the block maxima for that column along with the entire
row where that maxima occurred.
blocks numeric (integer or factor) vector indicating the blocks over which to take the
maxima. Must be non-NULL if blen and span are NULL.
CarcasonneHeat 13
blen (optional) may be used instead of the blocks argument, and span must be non-
NULL. This determines the length of the blocks to be created. Note, the last
block may be smaller or larger than blen. Ignored if blocks is not NULL.
span (optional) must be specified if blen is non-NULL and blocks is NULL. This is
the number of blocks over which to take the maxima, and the returned value will
be either a vector of length equal to span or a matrix or data frame with span
rows.
Value
vector of length equal to the number of blocks (vector method) or a matrix or data frame with
number of rows equal to the number of blocks (matrix and data frame methods).
The fevd method is for finding the block maxima of the data passed to a PP model fit and the
blocks are determined by the npy and span components of the fitted object. If the fevd object is
not a PP model, the function will error out. This is useful for utilizing the PP model in the GEV
with approximate annual maxima. Any covariate values that occur contiguous with the maxima are
returned as well.
The aggregate function is used with max in order to take the maxima from each block.
Author(s)
Eric Gilleland
See Also
fevd, max, aggregate
Examples
data(Fort)
bmFort <- blockmaxxer(Fort, blocks = Fort$year, which="Prec")
plot(Fort$year, Fort$Prec, xlab = "Year", ylab = "Precipitation (inches)",

cex = 1.25, cex.lab = 1.25,
col = "darkblue", bg = "lightblue", pch = 21)
points(bmFort$year, bmFort$Prec, col="darkred", cex=1.5)
CarcasonneHeat European Climate Assessment and Dataset
Description
Blended temperature multiplied by ten (deg Celsius) series of station STAID: 766 in Carcasonne,
France.
14 CarcasonneHeat
Usage
data("CarcasonneHeat")
Format
The format is: int [1:4, 1:12054] 104888 19800101 96 0 104888 19800102 57 0 104888 19800103
...
Details
European Climate Assessment and Dataset blended temperature (deg Celsius) series of station
STAID: 766 in Carcasonne, France. Blended and updated with sources: 104888 907635. See
Klein Tank et al. (2002) for more information.
This index was developed by Simone Russo at the European Commission, Joint Research Centre
(JRC). Reports, articles, papers, scientific and non-scientific works of any form, including tables,
maps, or any other kind of output, in printed or electronic form, based in whole or in part on the
data supplied, must reference to Russo et al. (2014).
Author(s)
Simone Russo <[email protected]>
Source
We acknowledge the data providers in the ECA&D project.

Klein Tank, A.M.G. and Coauthors, 2002. Daily dataset of 20th-century surface air temperature
and precipitation series for the European Climate Assessment. Int. J. of Climatol., 22, 1441-1453.
Data and metadata available at http://www.ecad.eu
References
Russo, S. and Coauthors, 2014. Magnitude of extreme heat waves in present climate and their
projection in a warming world. J. Geophys. Res., doi:10.1002/2014JD022098.
Examples
data(CarcasonneHeat)
str(CarcasonneHeat)
# see help file for hwmi for an example using these data.
ci.fevd 15
ci.fevd Confidence Intervals
Description
Confidence intervals for parameters and return levels using fevd objects.
Usage
ci(x, alpha = 0.05, type = c("return.level", "parameter"),
return.period = 100, which.par, R = 502, ...)
## S3 method for class 'fevd.bayesian'

return.period = 100, which.par = 1, FUN = "mean", burn.in = 499, tscale = FALSE,
...)
## S3 method for class 'fevd.lmoments'

return.period = 100, which.par, R = 502, tscale = FALSE,
return.samples = FALSE, ...)
## S3 method for class 'fevd.mle'

return.period = 100, which.par, R = 502, method = c("normal",
"boot", "proflik"), xrange = NULL, nint = 20, verbose = FALSE,
tscale = FALSE, return.samples = FALSE, ...)
Arguments
x list object returned by fevd.
alpha numeric between 0 and 1 giving the desired significance level (i.e., the (1 -
alpha) * 100 percent confidence level; so that the default alpha = 0.05 corre-
sponds to a 95 percent confidence level).
type character specifying if confidence intervals (CIs) are desired for return level(s)
(default) or one or more parameter.
return.period numeric vector giving the return period(s) for which it is desired to calculate the
corresponding return levels.
... optional arguments to the profliker function. For example, if it is desired to
see the plot (recommended), use verbose = TRUE.
which.par numeric giving the index (indices) for which parameter(s) to calculate CIs. De-
fault is to do all of them.
16 ci.fevd
FUN character string naming a function to use to estimate the parameters from the
MCMC sample. The function is applied to each column of the results compo-
nent of the returned fevd object.
burn.in The first burn.in values are thrown out before calculating anything from the
MCMC sample.
R the number of bootstrap iterations to do.
method character naming which method for obtaining CIs should be used. Default (“nor-
mal”) uses a normal approximation, and in the case of return levels (or trans-
formed scale) applies the delta method using the parameter covariance matrix.
Option “boot” employs a parametric bootstrap that simulates data from the fitted
model, and then fits the EVD to each simulated data set to obtain a sample of
parameters or return levels. Currently, only the percentile method of calculating
the CIs from the sample is available. Finally, “proflik” uses function profliker
to calculate the profile-likelihood function for the parameter(s) of interest, and
tries to find the upcross level between this function and the appropriate chi-
square critical value (see details).
tscale For the GP df, the scale parameter is a function of the shape parameter and the
threshold. When plotting the parameters, for example, against thresholds to find
a good threshold for fitting the GP df, it is imperative to transform the scale
parameter to one that is independent of the threshold. In particular, tscale =
scale - shape * threshold.
xrange, nint arguments to profliker function.
return.samples logical; should the bootstrap samples be returned? If so, CIs will not be calcu-
lated and only the sample of parameters (return levels) are returned.
verbose logical; should progress information be printed to the screen? For profile likeli-
hood method (method = “proflik”), if TRUE, the profile-likelihood will also be
plotted along with a horizontal line through the chi-square critical value.
Details
Confidence Intervals (ci):
ci: The ci method function will take output from fevd and calculate confidence intervals (or cred-
ible intervals in the case of Bayesian estimation) in an appropriate manner based on the estimation
method. There is no need for the user to call ci.fevd, ci.fevd.lmoments, ci.fevd.bayesian or
ci.fevd.mle; simply use ci and it will access the correct functions.
Currently, for L-moments, the only method available in this software is to apply a parameteric boot-
strap, which is also available for the MLE/GMLE methods. A parametric bootstrap is performed
via the following steps.
1. Simulate a sample of size n = lenght of the original data from the fitted model.
2. Fit the EVD to the simulated sample and store the resulting parameter estimates (and perhaps
any combination of them, such as return levels).
3. Repeat steps 1 and 2 many times (to be precise, R times) to obtain a sample from the population
df of the parameters (or combinations thereof).
4. From the sample resulting form the above steps, calculate confidence intervals. In the present
code, the only option is to do this by taking the alpha/2 and 1 - alpha/2 quantiles of the sample
ci.fevd 17
(i.e., the percentile method). However, if one uses return.samples = TRUE, then the sample is
returned instead of confidence intervals allowing one to apply some other method if they so desire.
As far as guidance on how large R should be, it is a trial and error decision. Usually, one wants the
smallest value (to make it as fast as possible) that still yields accurate results. Generally, this means
doing it once with a relatively low number (say R = 100), and then doing it again with a higher
number, say R = 250. If the results are very different, then do it again with an even higher number.
Keep doing this until the results do not change drastically.
For MLE/GMLE, the normal approximation (perhaps using the delta method, e.g., for return levels)
is used if method = “normal”. If method = “boot”, then parametric bootstrap CIs are found. Finally,
if method = “profliker”, then bounds based on the profile likelihood method are found (see below
for more details).
For Bayesian estimation, the alpha/2 and 1 - alpha/2 percentiles of the resulting MCMC sample
(after removing the first burn.in values) are used. If return levels are desired, then they are first
calculated for each MCMC iteration, and the same procedure is applied. Note that the MCMC
samples are availabel in the fevd output for this method, so any other procedure for finding CIs can
be done by the savvy user.
Finding CIs based on the profile-likelihood method:
The profile likelihood method is often the best method for finding accurate CIs for the shape param-
eter and for return levels associated with long return periods (where their distribution functions are
generally skewed so that, e.g., the normal approximation is not a good approximation). The profile
likelihood for a parameter is obtained by maximizing the likelihood over the other parameters of the
model for each of a range (xrange) of values. An approximation confidence region can be obtained
using the deviance function D = 2 * (l(theta.hat) - l_p(theta)), where l(theta.hat) is the likelihood
for the original model evaluated at their estimates and l_p(theta) is the likelihood of the parameter
of interest (optimized over the remaining parameters), which approximately follows a chi-square df
with degrees of freedom equal ot the number of parameters in the model less the one of interest.
The confidence region is then given by
C_alpha = the set of theta_1 s.t. D <= q,
where q is the 1 - alpha quantile of the chi-square df with degrees of freedom equal to 1 and theta_1
is the parameter of interest. If we let m represent the maximum value of the profile likelihood (i.e.,
m = max(l_p(theta))), then consider a horizontal line through m - q. All values of theta_1 that yield a
profile likelihood value above this horizontal line are within the confidence region, C_alpha (i.e., the
range of these values represents the (1 - alpha) * 100 percent CI for the parameter of interest). For
combinations of parameters, such as return levels, the same technique is applied by transforming
the parameters in the likelihood to reflect the desired combination.
To use the profile-likelihood approach, it is necessary to choose an xrange argument that covers the
entire confidence interval and beyond (at least a little), and the nint argument may be important
here too (this argument gives the number of points to try in fitting a spline function to the profile
likelihood, and smaller values curiously tend to be better, but not too small! Smaller values are also
more efficient). Further, one should really look at the plot of the profile-likelihood to make sure that
this is the case, and that resulting CIs are accurately estimated (perhaps using the locator function
to be sure). Nevertheless, an attempt is made to find the limits automatically. To look at the plot
along with the horizontal line, m - q, and vertical lines through the MLE (thin black dashed) and the
CIs (thick dashed blue), use the verbose = TRUE argument in the call to ci. This is not an explicit
argument, but available nonetheless (see examples below).
18 ci.fevd
See any text on EVA/EVT for more details (e.g., Coles 2001; Beirlant et al 2004; de Haan and
Ferreira 2006).
Value
Either a numeric vector of length 3 (if only one parameter/return level is used) or a matrix. In either
case, they will have class “ci”.
Author(s)
Eric Gilleland
References
Beirlant, J., Goegebeur, Y., Teugels, J. and Segers, J. (2004). Statistics of Extremes: Theory and
Coles, S. (2001). An introduction to statistical modeling of extreme values, London: Springer-
Verlag.
de Haan, L. and Ferreira, A. (2006). Extreme Value Theory: An Introduction. New York, NY, USA:
Springer, 288pp.
See Also
fevd, ci.rl.ns.fevd.bayesian, ci
Examples
data(Fort)
fit <- fevd(Prec, Fort, threshold = 2, type = "GP",

units = "inches", verbose = TRUE)
ci(fit, type = "parameter")
## Not run:
ci(fit, type = "return.level", method = "proflik",
xrange = c(3.5,7.75), verbose = TRUE)
# Can check using locator(2).
ci(fit, method = "boot")
## End(Not run)
ci.rl.ns.fevd.bayesian 19
ci.rl.ns.fevd.bayesian
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 lev-
els 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.
20 damage
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)
damage Hurricane Damage Data
Description
Estimated economic damage (billions USD) caused by hurricanes.
datagrabber.declustered 21
Usage
data(damage)
Format
A data frame with 144 observations on the following 3 variables.
obs a numeric vector that simply gives the line numbers.

Year a numeric vector giving the years in which the specific hurricane occurred.
Dam a numeric vector giving the total estimated economic damage in billions of U.S. dollars.
Details
More information on these data can be found in Pielke and Landsea (1998) or Katz (2002). Also
see the tutorial at http://www.isse.ucar.edu/extremevalues/evtk.html for examples using
extRemes.
References
Katz, R. W. (2002) Stochastic modeling of hurricane damage. Journal of Applied Meteorology, 41,
754–762.
Pielke, R. A. Jr. and Landsea, C. W. (1998) Normalized hurricane damages in the United States:
1925-95. Weather and Forecasting, 13, (3), 621–631.
Examples
data(damage)
plot( damage[,1], damage[,3], xlab="", ylab="Economic Damage", type="l", lwd=2)
# Fig. 3 of Katz (2002).

plot( damage[,"Year"], log( damage[,"Dam"]), xlab="Year", ylab="ln(Damage)", ylim=c(-10,5))
# Fig. 4 of Katz (2002).

qqnorm( log( damage[,"Dam"]), ylim=c(-10,5))
datagrabber.declustered
Get Original Data from an R Object
Description
Get the original data set used to obtain the resulting R object for which a method function exists.
22 datagrabber.declustered
Usage
## S3 method for class 'declustered'
datagrabber(x, ...)
## S3 method for class 'extremalindex'

datagrabber(x, ...)

datagrabber(x, response = TRUE,
cov.data = TRUE, ...)
Arguments
x An R object that has a method function for datagrabber.
response, cov.data
logical; should the response data be returned? Should the covariate data be
returned?
... optional arguments to get. This may eventually become deprecated as scoping
gets mixed up, and is currently not actually used.
Details
Accesses the original data set from a fitted fevd object or from declustered data (objects of class
“declustered”) or from extremalindex.
Value
The original pertinent data in whatever form it takes.
Author(s)
Eric Gilleland
See Also
datagrabber, extremalindex, decluster, fevd, get
Examples
y <- rnorm(100, mean=40, sd=20)
y <- apply(cbind(y[1:99], y[2:100]), 1, max)
bl <- rep(1:3, each=33)
ydc <- decluster(y, quantile(y, probs=c(0.95)), r=1, blocks=bl)
yorig <- datagrabber(ydc)

all(y - yorig == 0)
decluster 23
decluster Decluster Data Above a Threshold
Description
Decluster data above a given threshold to try to make them independent.
Usage
decluster(x, threshold, ...)

decluster(x, threshold, ..., which.cols, method = c("runs", "intervals"),
clusterfun = "max")
## Default S3 method:
decluster(x, threshold, ..., method = c("runs", "intervals"),
clusterfun = "max")
## S3 method for class 'intervals'

decluster(x, threshold, ..., clusterfun = "max", groups = NULL, replace.with,
na.action = na.fail)
## S3 method for class 'runs'

decluster(x, threshold, ..., data, r = 1, clusterfun = "max", groups = NULL,
replace.with, na.action = na.fail)

plot(x, which.plot = c("scatter", "atdf"), qu = 0.85, xlab = NULL,
ylab = NULL, main = NULL, col = "gray", ...)

print(x, ...)
Arguments
x An R data set to be declustered. Can be a data frame or a numeric vector. If a

data frame, then which.cols must be specified.
plot and print: an object returned by decluster.
data A data frame containing the data.
threshold numeric of length one or the size of the data over which (non-inclusive) data are
to be declustered.
qu quantile for u argument in the call to atdf.
24 decluster
which.cols numeric of length one or two. The first component tells which column is the one
to decluster, and the second component tells which, if any, column is to serve as
groups.
which.plot character string naming the type of plot to make.
method character string naming the declustering method to employ.
clusterfun character string naming a function to be applied to the clusters (the returned
value is used). Typically, for extreme value analysis (EVA), this will be the
cluster maximum (default), but other options are ok as long as they return a
single number.
groups numeric of length x giving natural groupings that should be considered as sep-
arate clusters. For example, suppose data cover only summer months across
several years. It would probably not make sense to decluster the data across
years (i.e., a new cluster should be defined if they occur in different years).
r integer run length stating how many threshold deficits should be used to define
a new cluster.
replace.with number, NaN, Inf, -Inf, or NA. What should the remaining values in the cluster
be replaced with? The default replaces them with threshold, which for most
EVA purposes is ideal.
xlab, ylab, main, col
optioal arguments to the plot function. If not used, then reasonable default
values are used.
... optional arguments to decluster.runs or clusterfun.
plot: optional arguments to plot.
Not used by print.
Details
Runs declustering (see Coles, 2001 sec. 5.3.2): Extremes separated by fewer than r non-extremes
belong to the same cluster.
Intervals declustering (Ferro and Segers, 2003): Extremes separated by fewer than r non-extremes
belong to the same cluster, where r is the nc-th largest interexceedance time and nc, the number of
clusters, is estimated from the extremal index, theta, and the times between extremes. Setting theta
= 1 causes each extreme to form a separate cluster.
The print statement will report the resulting extremal index estimate based on either the runs or
intervals estimate depending on the method argument as well as the number of clusters and run
length. For runs declustering, the run length is the same as the argument given by the user, and for
intervals method, it is an estimated run length for the resulting declustered data. Note that if the
declustered data are independent, the extremal index should be close to one (if not equal to 1).
Value
A numeric vector of class “declustered” is returned with various attributes including:
call the function call.

decluster 25
data.name character string giving the name of the data.

decluster.function
value of clusterfun argument. This is a function.
method character string naming the method. Same as input argument.
threshold threshold used for declustering.
groups character string naming the data used for the groups when applicable.
run.length the run length used (or estimated if “intervals” method employed).
na.action function used to handle missing values. Same as input argument.
clusters muneric giving the clusters of threshold exceedances.
Author(s)
Eric Gilleland
References
Verlag, 208 pp.
See Also
extremalindex, datagrabber, fevd
Examples
y <- rnorm(100, mean=40, sd=20)
y <- apply(cbind(y[1:99], y[2:100]), 1, max)
bl <- rep(1:3, each=33)
ydc <- decluster(y, quantile(y, probs=c(0.75)), r=1, groups=bl)

ydc
plot(ydc)
## Not run:
look <- decluster(-Tphap$MinT, threshold=-73)
look
plot(look)
# The code cannot currently grab data of the type of above.

# Better:
y <- -Tphap$MinT
look <- decluster(y, threshold=-73)
look
plot(look)
# Even better. Use a non-constant threshold.

26 decluster
u <- -70 - 7 *(Tphap$Year - 48)/42

look <- decluster(y, threshold=u)
look
plot(look)
# Better still: account for the fact that there are huge
# gaps in data from one year to another.
bl <- Tphap$Year - 47
look <- decluster(y, threshold=u, groups=bl)
look
plot(look)
# Now try the above with intervals declustering and compare

look2 <- decluster(y, threshold=u, method="intervals", groups=bl)
look2
dev.new()
plot(look2)
# Looks about the same,
# but note that the run length is estimated to be 5.
# Same resulting number of clusters, however.
# May result in different estimate of the extremal
# index.
#
fit <- fevd(look, threshold=u, type="GP", time.units="62/year")
fit
plot(fit)
# cf.
fit2 <- fevd(-MinT~1, Tphap, threshold=u, type="GP", time.units="62/year")
fit2
dev.new()
plot(fit2)
#
fit <- fevd(look, threshold=u, type="PP", time.units="62/year")
fit
plot(fit)
# cf.
fit2 <- fevd(-MinT~1, Tphap, threshold=u, type="PP", time.units="62/year")
fit2
dev.new()
plot(fit2)
## End(Not run)
Denmint 27
Denmint Denver Minimum Temperature
Description
Daily minimum temperature (degrees centigrade) for Denver, Colorado from 1949 through 1999.
Usage
data(Denmint)
Format
Time a numeric vector indicating the line number (time from first entry to the last).
Year a numeric vector giving the year.
Mon a numeric vector giving the month of each year.
Day a numeric vector giving the day of the month.
Min a numeric vector giving the minimum temperature in degrees Fahrenheit.
Source
Originally, the data came from the Colorado Climate Center at Colorado State University. The
Colorado state climatologist office no longer provides these data without charge. They can be
obtained from the NOAA/NCDC web site, but there are slight differences (i.e., some missing values
for temperature).
Examples
data(Denmint)
plot( Denmint[,3], Denmint[,5], xlab="", xaxt="n", ylab="Minimum Temperature (deg. F)")
axis(1,at=1:12,labels=c("Jan","Feb","Mar","Apr","May","Jun","Jul","Aug","Sep","Oct","Nov","Dec"))
Denversp Denver July hourly precipitation amount.
Description
Hourly precipitation (mm) for Denver, Colorado in the month of July from 1949 to 1990.
Usage
data(Denversp)
28 devd
Format
Year a numeric vector giving the number of years from 1900.

Hour a numeric vector giving the hour of the day (1 to 24).
Prec a numeric vector giving the precipitation amount (mm).
Details
These observations are part of an hourly precipitation dataset for the United States that has been
critically assessed by Collander et al. (1993). The Denver hourly precipitation dataset is examined
further by Katz and Parlange (1995). Summer precipitation in this region near the eastern edge of
the Rocky Mountains is predominantly of local convective origin (Katz and Parlange (1005)).
Source
Katz, R. W. and Parlange, M. B. (1995) Generalizations of chain-dependent processes: Application

to hourly precipitation, Water Resources Research 31, (5), 1331–1341.
References
Collander, R. S., Tollerud, E. I., Li, L., and Viront-Lazar, A. (1993) Hourly precipitation data
and station histories: A research assessment, in Preprints, Eighth Symposium on Meteorological
Observations and Instrumentation, American Meteorological Society, Boston, 153–158.
Examples
data(Denversp)
plot( Denversp[,1], Denversp[,4], xlab="", ylab="Hourly precipitation (mm)", xaxt="n")
axis(1,at=c(50,60,70,80,90),labels=c("1950","1960","1970","1980","1990"))
devd Extreme Value Distributions
Description
Density, distribution function (df), quantile function and random generation for the generalized
extreme value and generalized Pareto distributions.
devd 29
Usage
devd(x, loc = 0, scale = 1, shape = 0, threshold = 0, log = FALSE,
type = c("GEV", "GP"))
pevd(q, loc = 0, scale = 1, shape = 0, threshold = 0, lambda = 1,

npy, type = c("GEV", "GP", "PP", "Gumbel", "Frechet", "Weibull",
"Exponential", "Beta", "Pareto"), lower.tail = TRUE, log.p = FALSE)
qevd(p, loc = 0, scale = 1, shape = 0, threshold = 0,

type = c("GEV", "GP", "PP", "Gumbel", "Frechet", "Weibull", "Exponential", "Beta",
"Pareto"), lower.tail = TRUE)
revd(n, loc = 0, scale = 1, shape = 0, threshold = 0,

type = c("GEV", "GP"))
Arguments
x,q numeric vector of quantiles.
p numeric vector of probabilities. Must be between 0 and 1 (non-inclusive).
n number of observations to draw.
npy Number of points per period (period is usually year). Currently not used.
lambda Event frequency base rate. Currently not used.
loc, scale, shape
location, scale and shape parameters. Each may be a vector of same length as x
(devd or length n for revd. Must be length 1 for pevd and qevd.
threshold numeric giving the threshold for the GP df. May be a vector of same length as x
(devd or length n for revd. Must be length 1 for pevd and qevd.
log, log.p logical; if TRUE, probabilites p are given as log(p).
lower.tail logical; if TRUE (default), probabilities are P[X <= x] otherwise, P[X > x].
type character; one of "GEV" or "GP" describing whether to use the GEV or GP.
Details
The extreme value distributions (EVD’s) are generalized extreme value (GEV) or generalized Pareto
(GP); if type is “PP”, then pevd changes it to “GEV”. The point process characterization is an
equivalent form, but is not handled here. The GEV df is given by
PrX <= x = G(x) = exp[-1 + shape * (x - location)/scale^(-1/shape)]
for 1 + shape*(x - location) > 0 and scale > 0. It the shape parameter is zero, then the df is defined
by continuity and simplies to
G(x) = exp(-exp((x - location)/scale)).
The GEV df is often called a family of df’s because it encompasses the three types of EVD’s:
Gumbel (shape = 0, light tail), Frechet (shape > 0, heavy tail) and the reverse Weibull (shape < 0,
bounded upper tail at location - scale/shape). It was first found by R. von Mises (1936) and also
independently noted later by meteorologist A. F. Jenkins (1955). It enjoys theretical support for
modeling maxima taken over large blocks of a series of data.
30 devd
The generalized Pareo df is given by (Pickands, 1975)

PrX <= x = F(x) = 1 - [1 + shape * (x - threshold)/scale]^(-1/shape)
where 1 + shape * (x - threshold)/scale > 0, scale > 0, and x > threshold. If shape = 0, then the GP
df is defined by continuity and becomes
F(x) = 1 - exp(-(x - threshold)/scale).
There is an approximate relationship between the GEV and GP df’s where the GP df is approxi-
mately the tail df for the GEV df. In particular, the scale parameter of the GP is a function of the
threshold (denote it scale.u), and is equivalent to scale + shape*(threshold - location) where scale,
shape and location are parameters from the “equivalent” GEV df. Similar to the GEV df, the shape
parameter determines the tail behavior, where shape = 0 gives rise to the exponential df (light tail),
shape > 0 the Pareto df (heavy tail) and shape < 0 the Beta df (bounded upper tail at location -
scale.u/shape). Theoretical justification supports the use of the GP df family for modeling excesses
over a high threshold (i.e., y = x - threshold). It is assumed here that x, q describe x (not y = x -
threshold). Similarly, the random draws are y + threshold.
See Coles (2001) and Reiss and Thomas (2007) for a very accessible text on extreme value analysis
and for more theoretical texts, see for example, Beirlant et al. (2004), de Haan and Ferreira (2006),
as well as Reiss and Thomas (2007).
Value
’devd’ gives the density function, ’pevd’ gives the distribution function, ’qevd’ gives the quantile
function, and ’revd’ generates random deviates for the GEV or GP df depending on the type argu-
ment.
Note
There is a similarity between the location parameter of the GEV df and the threshold for the GP df.
For clarity, two separate arguments are emplyed here to distinguish the two instead of, for example,
just using the location parameter to describe both.
Author(s)
Eric Gilleland
References
Verlag, 208 pp.
Springer, 288pp.
Jenkinson, A. F. (1955) The frequency distribution of the annual maximum (or minimum) of mete-
orological elements. Quart. J. R. Met. Soc., 81, 158–171.
Pickands, J. (1975) Statistical inference using extreme order statistics. Annals of Statistics, 3, 119–
131.
devd 31
von Mises, R. (1936) La distribution de la plus grande de n valeurs, Rev. Math. Union Interbal-
canique 1, 141–160.
See Also
fevd
Examples
## GEV df (Frechet type)
devd(2:4, 1, 0.5, 0.8) # pdf
pevd(2:4, 1, 0.5, 0.8) # cdf
qevd(seq(1e-8,1-1e-8,,20), 1, 0.5, 0.8) # quantiles
revd(10, 1, 0.5, 0.8) # random draws
## GP df
devd(2:4, scale=0.5, shape=0.8, threshold=1, type="GP")
pevd(2:4, scale=0.5, shape=0.8, threshold=1, type="GP")
qevd(seq(1e-8,1-1e-8,,20), scale=0.5, shape=0.8, threshold=1, type="GP")
revd(10, scale=0.5, shape=0.8, threshold=1, type="GP")
## Not run:
# The fickleness of extremes.
z1 <- revd(100, 1, 0.5, 0.8)
hist(z1, breaks="FD", freq=FALSE, xlab="GEV distributed random variables", col="darkblue")
lines(seq(0,max(z1),,200), devd(seq(0,max(z1),,200), 1, 0.5, 0.8), lwd=1.5, col="yellow")
lines(seq(0,max(z1),,200), devd(seq(0,max(z1),,200), 1, 0.5, 0.8), lwd=1.5, lty=2)
z2 <- revd(100, 1, 0.5, 0.8)

qqplot(z1, z2)
z3 <- revd(100, scale=0.5, shape=0.8, threshold=1, type="GP")

# Or, equivalently
z4 <- revd(100, 5, 0.5, 0.8, 1, type="GP") # the "5" is ignored.
qqplot(z3, z4)
# Just for fun.

qqplot(z1, z3)
# Compare
par(mfrow=c(2,2))
plot(density(z1), xlim=c(0,100), ylim=c(0,1))
# Three types
x <- seq(0,10,,200)
par(mfrow=c(1,2))
plot(x, devd(x, 1, 1, -0.5), type="l", col="blue", lwd=1.5,
32 distill.fevd
ylab="GEV df")
# Note upper bound at 1 - 1/(-0.5) = 3 in above plot.
lines(x, devd(x, 1, 1, 0), col="lightblue", lwd=1.5)

lines(x, devd(x, 1, 1, 0.5), col="darkblue", lwd=1.5)
legend("topright", legend=c("(reverse) Weibull", "Gumbel", "Frechet"),
col=c("blue", "lightblue", "darkblue"), bty="n", lty=1, lwd=1.5)
plot(x, devd(x, 1, 1, -0.5, 1, type="GP"), type="l", col="blue", lwd=1.5,

ylab="GP df")
lines(x, devd(x, 1, 1, 0, 1, type="GP"), col="lightblue", lwd=1.5)
lines(x, devd(x, 1, 1, 0.5, 1, type="GP"), col="darkblue", lwd=1.5)
legend("topright", legend=c("Beta", "Exponential", "Pareto"),
# Emphasize the tail differences more by using different scale parameters.

par(mfrow=c(1,2))
plot(x, devd(x, 1, 0.5, -0.5), type="l", col="blue", lwd=1.5,
ylab="GEV df")
lines(x, devd(x, 1, 1, 0), col="lightblue", lwd=1.5)
lines(x, devd(x, 1, 2, 0.5), col="darkblue", lwd=1.5)
legend("topright", legend=c("(reverse) Weibull", "Gumbel", "Frechet"),
plot(x, devd(x, 1, 0.5, -0.5, 1, type="GP"), type="l", col="blue", lwd=1.5,

ylab="GP df")
lines(x, devd(x, 1, 1, 0, 1, type="GP"), col="lightblue", lwd=1.5)
lines(x, devd(x, 1, 2, 0.5, 1, type="GP"), col="darkblue", lwd=1.5)
legend("topright", legend=c("Beta", "Exponential", "Pareto"),
## End(Not run)
distill.fevd Distill Parameter Information
Description
Distill parameter information (and possibly other pertinent inforamtion) from fevd objects.
Usage
distill(x, ...)

distill(x, cov = TRUE, FUN = "mean", burn.in = 499, ...)

distill.fevd 33
distill(x, ...)

distill(x, cov = TRUE, ...)
Arguments
x list object returned by fevd.

... Not used.
cov logical; should the parameter covariance be returned with the parameters (if
TRUE, they are returned as a vector concatenated to the end of the returned
value).
MCMC sample.
Details
Obtaining just the basic information from the fits:

distill: The distill method function works on fevd output to obtain only pertinent information
and output it in a very user-friendly format (i.e., a single vector). Mostly, this simply means return-
ing the parameter estimates, but for some methods, more information (e.g., the optimized negative
log-likelihood value and parameter covariances) can also be returned. In the case of the parameter
covariances (returned if cov = TRUE), if np is the number of parameters in the model, the covari-
ance matrix can be obtained by peeling off the last np^2 values of the vector, call it v, and using v
<- matrix(v, np, np).
As with ci, only distill need be called by the user. The appropriate choice of the other functions
is automatically determined from the fevd fitted object.
Value
numeric vector giving the parameter values, and if estimation method is MLE/GMLE, then the
negative log-likelihood. If the estimation method is MLE/GMLE or Bayesian, then the parameter
covariance values (collapsed with c) are concatenated to the end as well.
Author(s)
Eric Gilleland
See Also
fevd, ci.fevd, distill

34 erlevd
Examples
data(Fort)
fit <- fevd(Prec, Fort, threshold=0.395, type="PP", units="inches", verbose=TRUE)

fit
distill(fit)
erlevd Effective Return Levels
Description
Find the so-called effective return levels for non-stationary extreme value distributions (EVDs).
Usage
erlevd(x, period = 100)
Arguments
x A list object of class “fevd”.
period number stating for what return period the effective return levels should be cal-
culated.
Details
Return levels are the same as the quantiles for the GEV df. For the GP df, they are very similar to
the quantiles, but with the event frequency taken into consideration. Effective return levels are the
return levels obtained for given parameter/threshold values of a non-stationary model. For example,
suppose the df for data are modeled as a GEV(location(t) = mu0 + mu1 * t, scale, shape), where ‘t’
is time. Then for any specific given time, ‘t’, return levels can be found. This is done for each value
of the covariate(s) used to fit the model to the data. See, for example, Gilleland and Katz (2011) for
more details.
This function is called by the plot method function for “fevd” objects when the models are non-
stationary.
Value
A vector of length equal to the length of the data used to obtain the fit. When x is from a PP fit with
blocks, a vector of length equal to the number of blocks.
Author(s)
Eric Gilleland
erlevd 35
References
Eos, 11 January, 92, (2), 13–14.
See Also
fevd, rlevd, rextRemes, pextRemes, plot.fevd
Examples
data(PORTw)
fit <- fevd(TMX1, PORTw, location.fun=~AOindex, units="deg C")

fit
tmp <- erlevd(fit, period=20)
## Not run:
# Currently, the ci function does not work for effective
# return levels. There were coding issues encountered.
# But, could try:
#
z <- rextRemes(fit, n=500)
dim(z)
# 500 randomly drawn samples from the
# fitted model. Each row is a sample
# of data from the fitted model of the
# same length as the data. Each column
# is a separate sample.
sam <- numeric(0)

for( i in 1:500) {
cat(i, " ")
dat <- data.frame(z=z[,i], AOindex=PORTw$AOindex)
res <- fevd(z, dat, location.fun=~AOindex)
sam <- cbind(sam, c(erlevd(res)))
}
cat("\n")
dim(sam)
a <- 0.05
res <- apply(sam, 1, quantile, probs=c(a/2, 1 - a/2))
nm <- rownames(res)
res <- cbind(res[1,], tmp, res[2,])

colnames(res) <- c(nm[1], "Estimated 20-year eff. ret. level", nm[2])
res
## End(Not run)
36 extremalindex
extremalindex Extemal Index
Description
Estimate the extremal index.
Usage
extremalindex(x, threshold, method = c("intervals", "runs"), run.length = 1,
na.action = na.fail, ...)

ci(x, alpha = 0.05, R = 502, return.samples = FALSE, ...)

print(x, ...)
Arguments
x A data vector.
ci and print: output from extremalindex.
threshold numeric of length one or the length of x giving the value above which (non-
inclusive) the extremal index should be calculated.
method character string stating which method should be used to estimate the extremal
index.
run.length For runs declustering only, an integer giving the number of threshold deficits to
be considered as starting a new cluster.
na.action function to handle missing values.
alpha number between zero and one giving the (1 - alpha) * 100 percent confidence
level. For example, alpha = 0.05 corresponds to 95 percent confidence; alpha is
the significance level (or probability of type I errors) for hypothesis tests based
on the CIs.
R Number of replicate samples to use in the bootstrap procedure.
return.samples logical; if TRUE, the bootstrap replicate samples will be returned instead of CIs.
This is useful, for example, if one wishes to find CIs using a better method than
the one used here (percentile method).
... optional arguments to decluster. Not used by ci or print.
Details
The extremal index is a useful indicator of how much clustering of exceedances of a threshold
occurs in the limit of the distribution. For independent data, theta = 1, (though the converse is does
not hold) and if theta < 1, then there is some dependency (clustering) in the limit.
extremalindex 37
There are many possible estimators of the extremal index. The ones used here are runs declustering
(e.g., Coles, 2001 sec. 5.3.2) and the intervals estimator described in Ferro and Segers (2003). It is
unbiased in the mean and can be used to estimate the number of clusters, which is also done by this
function.
Value
A numeric vector of length three and class “extremalindex” is returned giving the estimated extremal
index, the number of clusters and the run length. Also has attributes including:
cluster the resulting clusters.

method Same as argument above.
data.name character vector giving the name of the data used, and possibly the data frame
or matrix and column name, if applicable.
data.call character string giving the actual argument passed in for x. May be the same as
data.name.
call the function call.
na.action function used for handling missing values. Same as argument above.
threshold the threshold used.
Author(s)
Eric Gilleland
References
Verlag, 208 pp.
See Also
decluster, fevd
Examples
data(Fort)
extremalindex(Fort$Prec, 0.395, method="runs", run.length=9, blocks=Fort$year)
## Not run:
tmp <- extremalindex(Fort$Prec, 0.395, method="runs", run.length=9, blocks=Fort$year)
tmp
ci(tmp)
tmp <- extremalindex(Fort$Prec, 0.395, method="intervals", run.length=9, blocks=Fort$year)

tmp
ci(tmp)
38 FCwx
## End(Not run)
FCwx Fort Collins, Colorado Weather Data
Description
Weather data from Fort Collins, Colorado, U.S.A. from 1900 to 1999.
Usage
data(FCwx)
Format
The format is: chr "FCwx"
Details
Data frame with components:
Year: integer years from 1900 to 1999,
Mn: integer months from 1 to 12,
Dy: integer days of the month (i.e., from 1 to 28, 29, 30 or 31 depending on the month/year),
MxT: integer valued daily maximum temperature (degrees Fahrenheit),
MnT: integer valued daily minimum temperature (degrees Fahrenheit),
Prec: numeric giving the daily accumulated precipitation (inches),
Snow: numeric daily accumulated snow amount,
SnCv: numeric daily snow cover amount
Source
Originally from the Colorado Climate Center at Colorado State University. The Colorado state
climatologist office no longer provides this data without charge. The data can be obtained from the
NOAA/NCDC web site, but there are slight differences (i.e., some missing values for temperature).
References
Katz, R. W., Parlange, M. B. and Naveau, P. (2002) Statistics of extremes in hydrology. Advances
in Water Resources, 25, 1287–1304.
Examples
data(FCwx)
str(FCwx)
plot(FCwx$Mn, FCwx$Prec)
plot(1:36524, FCwx$MxT, type="l")
fevd 39
fevd Fit An Extreme Value Distribution (EVD) to Data
Description
Fit a univariate extreme value distribution functions (e.g., GEV, GP, PP, Gumbel, or Exponential) to
data; possibly with covariates in the parameters.
Usage
fevd(x, data, threshold = NULL, threshold.fun = ~1, location.fun = ~1,
scale.fun = ~1, shape.fun = ~1, use.phi = FALSE,
type = c("GEV", "GP", "PP", "Gumbel", "Exponential"),
method = c("MLE", "GMLE", "Bayesian", "Lmoments"), initial = NULL,
span, units = NULL, time.units = "days", period.basis = "year",
na.action = na.fail, optim.args = NULL, priorFun = NULL,
priorParams = NULL, proposalFun = NULL, proposalParams = NULL,
iter = 9999, weights = 1, blocks = NULL, verbose = FALSE)

plot(x, type = c("primary", "probprob", "qq", "qq2",
"Zplot", "hist", "density", "rl", "trace"),
rperiods = c(2, 5, 10, 20, 50, 80, 100, 120, 200, 250, 300, 500, 800),
a = 0, hist.args = NULL, density.args = NULL, d = NULL, ...)

rperiods = c(2, 5, 10, 20, 50, 80, 100, 120, 200, 250, 300, 500, 800),
a = 0, hist.args = NULL, density.args = NULL, burn.in = 499, d = NULL, ...)

rperiods = c(2, 5, 10, 20, 50, 80, 100, 120, 200, 250, 300, 500, 800),
a = 0, hist.args = NULL, density.args = NULL, d = NULL, ...)

rperiods = c(2, 5, 10, 20, 50, 80, 100, 120, 200, 250, 300, 500, 800),
a = 0, hist.args = NULL, density.args = NULL, period = "year",
prange = NULL, d = NULL, ...)

print(x, ...)
40 fevd

summary(object, ...)

summary(object, FUN = "mean", burn.in = 499, ...)


Arguments
x fevd: x can be a numeric vector, the name of a column of data or a formula
giving the data to which the EVD is to be fit. In the case of the latter two, the
data argument must be specified, and must have appropriately named columns.
plot and print method functions: any list object returned by fevd.
object A list object of class “fevd” as returned by fevd.
data A data frame object with named columns giving the data to be fit, as well as any
data necessary for modeling non-stationarity through the threshold and/or any
of the parameters.
threshold numeric (single or vector). If fitting a peak over threshold (POT) model (i.e.,
type = “PP”, “GP”, “Exponential”) this is the threshold over which (non-inclusive)
data (or excesses) are used to estimate the parameters of the distribution func-
tion. If the length is greater than 1, then the length must be equal to either the
length of x (or number of rows of data) or to the number of unique arguments
in threshold.fun.
threshold.fun formula describing a model for the thresholds using columns from data. Any
valid formula will work. data must be supplied if this argument is anything
other than ~ 1. Not for use with method “Lmoments”.
location.fun, scale.fun, shape.fun
formula describing a model for each parameter using columns from data. data
must be supplied if any of these arguments are anything other than ~ 1.
use.phi logical; should the log of the scale parameter be used in the numerical opti-
mization (for method “MLE”, “GMLE” and “Bayesian” only)? For the ML and
GML estimation, this may make things more stable for some data.
type fevd: character stating which EVD to fit. Default is to fit the generalized ex-
treme value (GEV) distribution function (df).
plot method function: character describing which plot(s) is (are) desired. De-
fault is “primary”, which makes a 2 by 2 panel of plots including the QQ plot
of the data quantiles against the fitted model quantiles (type “qq”), a QQ plot
(“qq2”) of quantiles from model-simulated data against the data, a density plot
of the data along with the model fitted density (type “density”) and a return level
plot (type “rl”). In the case of a stationary (fixed) model, the return level plot
will show return levels calculated for return periods given by return.period,
fevd 41
along with associated CIs (calculated using default method arguments depend-
ing on the estimation method used in the fit. For non-stationary models, the
data are plotted as a line along with associated effective return levels for return
periods of 2, 20 and 100 years (unless return.period is specified by the user
to other values. Other possible values for type include “hist”, which is simi-
lar to “density”, but shows the histogram for the data and “trace”, which is not
used for L-moment fits. In the case of MLE/GMLE, the trace yields a panel of
plots that show the negative log-likelihood and gradient negative log-likelihood
(note that the MLE gradient is currently used even for GMLE) for each of the
estimated parameter(s); allowing one parameter to vary according to prange,
while the others remain fixed at their estimated values. In the case of Bayesian
estimation, the “trace” option creates a panel of plots showing the posterior df
and MCMC trace for each parameter.
method fevd: character naming which type of estimation method to use. Default is to
use maximum likelihood estimation (MLE).
initial A list object with any named parameter component giving the initial value es-
timates for starting the numerical optimization (MLE/GMLE) or the MCMC
iterations (Bayesian). In the case of MLE/GMLE, it is best to obtain a good
intial guess, and in the Bayesian case, it is perhaps better to choose poor initial
estimates. If NULL (default), then L-moments estimates and estimates based on
Gumbel moments will be calculated, and whichever yields the lowest negative
log-likelihood is used. In the case of type “PP”, an additional MLE/GMLE es-
timate is made for the generalized Pareto (GP) df, and parameters are converted
to those of the Poisson Process (PP) model. Again, the initial estimates yielding
the lowest negative log-likelihoo value are used for the initial guess.
span single numeric giving the number of years (or other desired temporal unit) in the
data set. Only used for POT models, and only important in the estimation for the
PP model, but important for subsequent estimates of return levels for any POT
model. If missing, it will be calculated using information from time.units.
units (optional) character giving the units of the data, which if given may be used
subsequently (e.g., on plot axis labels, etc.).
time.units character string that must be one of “hours”, “minutes”, “seconds”, “days”,
“months”, “years”, “m/hour”, “m/minute”, “m/second”, “m/day”, “m/month”,
or “m/year”; where m is a number. If span is missing, then this argument is
used in determining the value of span. It is also returned with the output and
used subsequently for plot labelling, etc.
period.basis character string giving the units for the period. Used only for plot labelling and
naming output vectors from some of the method functions (e.g., for establishing
what the period represents for the return period).
rperiods numeric vector giving the return period(s) for which it is desired to calculate the
corresponding return levels.
period character string naming the units for the return period.
MCMC sample.
a when plotting empirical probabilies and such, the function ppoints is called,
which has this argument a.
42 fevd
d numeric determining how to scale the rate parameter for the point process. If
NULL, the function will attempt to scale based on the values of period.basis
and time.units, the first of which must be “year” and the second of which must
be one of “days”, “months”, “years”, “hours”, “minutes” or “seconds”. If none
of these are the case, then d should be specified, otherwise, it is not necessary.
density.args, hist.args
named list object containing arguments to the density and hist functions, re-
spectively.
na.action function to be called to handle missing values. Generally, this should remain at
the default (na.fail), and the user should take care to impute missing values in
an appropriate manner as it may have serious consequences on the results.
optim.args A list with named components matching exactly any arguments that the user
wishes to specify to optim, which is used only for MLE and GMLE methods.
By default, the “BFGS” method is used along with grlevd for the gradient ar-
gument. Generally, the grlevd function is used for the gr option unless the user
specifies otherwise, or the optimization method does not take gradient informa-
tion.
priorFun character naming a prior df to use for methods GMLE and Bayesian. The de-
fault for GMLE (not including Gumbel or Exponential types) is to use the one
suggested by Martins and Stedinger (2000, 2001) on the shape parameter; a beta
df on -0.5 to 0.5 with parameters p and q. Must take x as its first argument for
method “GMLE”. Optional arguments for the default function are p and q (see
details section).
The default for Bayesian estimation is to use normal distribution functions. For
Bayesian estimation, this function must take theta as its first argument.
Note: if this argument is not NULL and method is set to “MLE”, it will be
changed to “GMLE”.
priorParams named list containing any prior df parameters (where the list names are the same
as the function argument names). Default for GMLE (assuming the default func-
tion is used) is to use q = 6 and p = 9. Note that in the Martins and Stedinger
(2000, 2001) papers, they use a different EVD parametrization than is used here
such that a positive shape parameter gives the upper bounded distribution instead
of the heavy-tail one (as emloyed here). To be consistent with these papers, p
and q are reversed inside the code so that they have the same interpretation as in
the papers.
Default for Bayesian estimation is to use ML estimates for the means of each
parameter (may be changed using m, which must be a vector of same length as
the number of parameters to be estimated (i.e., if using the default prior df)) and
a standard deviation of 10 for all other parameters (again, if using the default
prior df, may be changed using v, which must be a vector of length equal to the
number of parameters).
proposalFun For Bayesian estimation only, this is a character naming a function used to gen-
erate proposal parameters at each iteration of the MCMC. If NULL (default), a
random walk chain is used whereby if theta.i is the current value of the param-
eter, the proposed new parameter theta.star is given by theta.i + z, where z is
drawn at random from a normal df.
fevd 43
proposalParams A named list object describing any optional arguments to the proposalFun func-
tion. All functions must take argument p, which must be a vector of the param-
eters, and ind, which is used to identify which parameter is to be proposed. The
default proposalFun function takes additional arguments mean and sd, which
must be vectors of length equal to the number of parameters in the model (de-
fault is to use zero for the mean of z for every parameter and 0.1 for its standard
deviation).
iter Used only for Bayesian estimation, this is the number of MCMC iterations to
do.
weights numeric of length 1 or n giving weights to be applied in the likelihood calcula-
tions (e.g., if there are data points to be weighted more/less heavily than others).
blocks An optional list containing information required to fit point process models in
a computationally-efficient manner by using only the exceedances and not the
observations below the threshold(s). See details for further information.
verbose logical; should progress information be printed to the screen? If TRUE, for
MLE/GMLE, the argument trace will be set to 6 in the call to optim.
prange matrix whose columns are numeric vectors of length two for each parameter in
the model giving the parameter range over which trace plots should be made.
Default is to use either +/- 2 * std. err. of the parameter (first choice) or, if the
standard error cannot be calculated, then +/- 2 * log2(abs(parameter)). Typically,
these values seem to work very well for these plots.
... Not used by most functions here. Optional arguments to plot for the various
plot method functions.
In the case of the summary method functions, the logical argument silent may
be passed to suppress (if TRUE) printing any information to the screen.
Details
See text books on extreme value analysis (EVA) for more on univariate EVA (e.g., Coles, 2001 and
Reiss and Thomas, 2007 give fairly accessible introductions to the topic for most audiences; and
Beirlant et al., 2004, de Haan and Ferreira, 2006, as well as Reiss and Thomas, 2007 give more
complete theoretical treatments). The extreme value distributions (EVDs) have theoretical support
for analyzing extreme values of a process. In particular, the generalized extreme value (GEV) df is
appropriate for modeling block maxima (for large blocks, such as annual maxima), the generalized
Pareto (GP) df models threshold excesses (i.e., x - u | x > u and u a high threshold).
The GEV df is given by
Pr(X <= x) = G(x) = exp[-(1 + shape*(x - location)/scale)^(-1/shape)]
for 1 + shape*(x - location) > 0 and scale > 0. If the shape parameter is zero, then the df is defined
The GEV df is often called a family of distribution functions because it encompasses the three
types of EVDs: Gumbel (shape = 0, light tail), Frechet (shape > 0, heavy tail) and the reverse
44 fevd
Weibull (shape < 0, bounded upper tail at location - scale/shape). It was first found by R. von Mises
(1936) and also independently noted later by meteorologist A. F. Jenkins (1955). It enjoys theretical
support for modeling maxima taken over large blocks of a series of data.
Pr(X <= x) = F(x) = 1 - [1 + shape*(x - threshold)/scale]^(-1/shape)
where 1 + shape*(x - threshold)/scale > 0, scale > 0, and x > threshold. If shape = 0, then the GP df
is defined by continuity and becomes
There is an approximate relationship between the GEV and GP distribution functions where the
GP df is approximately the tail df for the GEV df. In particular, the scale parameter of the GP is a
function of the threshold (denote it scale.u), and is equivalent to scale + shape*(threshold - location)
where scale, shape and location are parameters from the “equivalent” GEV df. Similar to the GEV
df, the shape parameter determines the tail behavior, where shape = 0 gives rise to the exponential
df (light tail), shape > 0 the Pareto df (heavy tail) and shape < 0 the Beta df (bounded upper tail at
location - scale.u/shape). Theoretical justification supports the use of the GP df family for modeling
excesses over a high threshold (i.e., y = x - threshold). It is assumed here that x, q describe x (not y
= x - threshold). Similarly, the random draws are y + threshold.
If interest is in minima or deficits under a low threshold, all of the above applies to the negative of
the data (e.g., - max(-X_1,...,-X_n) = min(X_1, ..., X_n)) and fevd can be used so long as the user
first negates the data, and subsequently realizes that the return levels (and location parameter) given
will be the negative of the desired return levels (and location parameter), etc.
The study of extremes often involves a paucity of data, and for small sample sizes, L-moments
may give better estimates than competing methods, but penalized MLE (cf. Coles and Dixon, 1999;
Martins and Stedinger, 2000; 2001) may give better estimates than the L-moments for such samples.
Martins and Stedinger (2000; 2001) use the terminology generalized MLE, which is also used here.
Non-stationary models:
The current code does not allow for non-stationary models with L-moments estimation.
For MLE/GMLE (see El Adlouni et al 2007 for using GMLE in fitting models whose parameters
vary) and Bayesian estimation, linear models for the parameters may be fit using formulas, in which
case the data argument must be supplied. Specifically, the models allowed for a set of covariates,
y, are:
location(y) = mu0 + mu1 * f1(y) + mu2 * f2(y) + ...
scale(y) = sig0 + sig1 * g1(y) + sig2 * g2(y) + ...
log(scale(y)) = phi(y) = phi0 + phi1 * g1(y) + phi2 * g2(y) + ...
shape(y) = xi0 + xi1 * h1(y) + xi2 * h2(y) + ...
For non-stationary fitting it is recommended that the covariates within the generalized linear models
are (at least approximately) centered and scaled (see examples below). It is generally ill-advised to
include covariates in the shape parameter, but there are situations where it makes sense.
Non-stationary modeling is accomplished with fevd by using formulas via the arguments: threshold.fun,
location.fun, scale.fun and shape.fun. See examples to see how to do this.
Initial Value Estimates:
In the case of MLE/GMLE, it can be very important to get good initial estimates (e.g., see the
examples below). fevd attempts to find such estimates, but it is also possible for the user to supply
fevd 45
their own initial estimates as a list object using the initial argument, whereby the components
of the list are named according to which parameter(s) they are associated with. In particular, if the
model is non-stationary, with covariates in the location (e.g., mu(t) = mu0 + mu1 * t), then initial
may have a component named “location” that may contain either a single number (in which case,
by default, the initial value for mu1 will be zero) or a vector of length two giving initial values for
mu0 and mu1.
For Bayesian estimation, it is good practice to try several starting values at different points to make
sure the initial values do not affect the outcome. However, if initial values are not passed in, the
MLEs are used (which probably is not a good thing to do, but is more likely to yield good results).
For MLE/GMLE, two (in the case of PP, three) initial estimates are calculated along with their
associated likelihood values. The initial estimates that yield the highest likelihood are used. These
methods are:
1. L-moment estimates.
2. Let m = mean(xdat) and s = sqrt(6 * var(xdat)) / pi. Then, initial values assigend for the lcoation
parameter when either initial is NULL or the location component of initial is NULL, are m
- 0.57722 * s. When initial or the scale component of initial is NULL, the initial value for
the scale parameter is taken to be s, and when initial or its shape component is NULL, the initial
value for the shape parameter is taken to be 1e-8 (because these initial estimates are moment-based
estimates for the Gumbel df, so the initial value is taken to be near zero).
3. In the case of PP, which is often the most difficult model to fit, MLEs are obtained for a GP
model, and the resulting parameter estimates are converted to those of the approximately equivalent
PP model.
In the case of a non-stationary model, if the default initial estimates are used, then the intercept term
for each parameter is given the initial estimate, and all other parameters are set to zero initially. The
exception is in the case of PP model fitting where the MLE from the GP fits are used, in which case,
these parameter estimates may be non-zero.
The generalized MLE (GMLE) method:
This method places a penalty (or prior df) on the shape parameter to help ensure a better fit. The pro-
cedure is nearly identical to MLE, except the likelihood, L, is multiplied by the prior df, p(shape);
and because the negative log-likelihood is used, the effect is that of subtracting this term. Currently,
there is no supplied function by this package to calculate the gradient for the GMLE case, so in
particular, the trace plot is not the trace of the actual negative log-likelihood (or gradient thereof)
used in the estimation.
Bayesian Estimation:
It is possible to give your own prior and proposal distribution functions using the appropriate ar-
guments listed above in the arguments section. At each iteration of the chain, the parameters are
updated one at a time in random order. The default method uses a random walk chain for the
proposal and normal distributions for the parameters.
Plotting output:
plot: The plot method function will take information from the fevd output and make any of
various useful plots. The default, regardless of estimation method, is to produce a 2 by 2 panel
of plots giving some common diagnostic plots. Possible types (determined by the type argument)
include:
1. “primary” (default): yields the 2 by 2 panel of plots given by 3, 4, 6 and 7 below.
46 fevd
2. “probprob”: Model probabilities against empirical probabilities (obtained from the ppoints
function). A good fit should yield a straight one-to-one line of points. In the case of a non-stationary
model, the data are first transformed to either the Gumbel (block maxima models) or exponential
(POT models) scale, and plotted against probabilities from these standardized distribution functions.
In the case of a PP model, the parameters are first converted to those of the approximately equivalent
GP df, and are plotted against the empirical data threshold excesses probabilities.
3. “qq”: Empirical quantiles against model quantiles. Again, a good fit will yield a straight one-
to-one line of points. Generally, the qq-plot is preferred to the probability plot in 1 above. As
in 2, for the non-stationary case, data are first transformed and plotted against quantiles from the
standardized distributions. Also as in 2 above, in the case of the PP model, parameters are converted
to those of the GP df and quantiles are from threshold excesses of the data.
4. “qq2”: Similar to 3, first data are simulated from the fitted model, and then the qq-plot between
them (using the function qqplot from this self-same package) is made between them, which also
yields confidence bands. Note that for a good fitting model, this should again yield a straight one-
to-one line of points, but generally, it will not be as “well-behaved” as the plot in 3. The one-to-one
line and a regression line fitting the quantiles is also shown. In the case of a non-stationary model,
simulations are obtained by simulating from an appropriate standardized EVD, re-ordered to follow
the same ordering as the data to which the model was fit, and then back transformed using the
covariates from data and the parameter estimates to put the simulated sample back on the original
scale of the data. The PP model is handled analogously as in 2 and 3 above.
5. and 6. “Zplot”: These are for PP model fits only and are based on Smith and Shively (1995, see
also http://www.stat.unc.edu/postscript/rs/var.pdf). The Z plot is a diagnostic for deter-
mining whether or not the random variable, Zk, defined as the (possibly non-homogeneous) Poisson
intensity parameter(s) integrated from exceedance time k - 1 to exceedance time k (beginning the
series with k = 1) is independent exponentially distributed with mean 1.
For the Z plot, it is necessary to scale the Poisson intensity parameter appropriately. For example,
if the data are given on a daily time scale with an annual period basis, then this parameter should be
divided by, for example, 365.25. From the fitted fevd object, the function will try to account for the
correct scaling based on the two components “period.basis” and “time.units”. The former currently
must be “year” and the latter must be one of “days”, “months”, “years”, “hours”, “minutes” or
“seconds”. If none of these are valid for your specific data (e.g., if an annual basis is not desired),
then use the d argument to explicitly specify the correct scaling.
7. “hist”: A histogram of the data is made, and the model density is shown with a blue dashed line.
In the case of non-stationary models, the data are first transformed to an appropriate standardized
EVD scale, and the model density line is for the self-same standardized EVD. Currently, this does
not work for non-stationary POT models.
8. “density”: Same as 5, but the kernel density (using function density) for the data is plotted
instead of the histogram. In the case of the PP model, block maxima of the data are calculated and
the density of these block maxima are compared to the PP in terms of the equivalent GEV df. If the
model is non-stationary GEV, then the transformed data (to a stationary Gumbel df) are used. If the
model is a non-stationary POT model, then currently this option is not available.
9. “rl”: Return level plot. This is done on the log-scale for the abscissa in order that the type
of EVD can be discerned from the shape (i.e., heavy tail distributions are concave, light tailed
distributions are straight lines, and bounded upper-tailed distributions are convex, asymptoting at
the upper bound). 95 percent CIs are also shown (gray dashed lines). In the case of non-stationary
models, the data are plotted as a line, and the “effective” return levels (by default the 2-period (i.e.,
fevd 47
the median), 20-period and 100-period are used; period is usually annual) are also shown (see, e.g.,
Gilleland and Katz, 2011). In the case of the PP model, the equivalent GEV df (stationary model)
is assumed and data points are block maxima, where the blocks are determined from information
passed in the call to fevd. In particular, the span argument (which, if not passed by the user, will
have been determined by fevd using time.units along with the number of points per year (which
is estimated from time.units) are used to find the blocks over which the maxima are taken. For
the non-stationary case, the equivalent GP df is assumed and parameters are converted. This helps
facilitate a more meaningful plot, e.g., in the presence of a non-constant threshold, but otherwise
constant parameters.
10. “trace”: In each of cases (b) and (c) below, a 2 by the number of parameters panel of plots are
created.
(a) L-moments: Not available for the L-moments estimation.
(b) For MLE/GMLE, the likelihood traces are shown for each parameter of the model, whereby all
but one parameter is held fixed at the MLE/GMLE values, and the negative log-likelihood is graphed
for varying values of the parameter of interest. Note that this differs greatly from the profile likeli-
hood (see, e.g., profliker) where the likelihood is maximized over the remaining parameters. The
gradient negative log-likelihoods are also shown for each parameter. These plots may be useful in
diagnosing any fitting problems that might arise in practice. For ease of interpretation, the gradients
are shown directly below the likleihoods for each parameter.
(c) For Bayesian estimation, the usual trace plots are shown with a gray vertical dashed line show-
ing where the burn.in value lies; and a gray dashed horizontal line through the posterior mean.
However, the posterior densities are also displayed for each parameter directly above the usual trace
plots. It is not currently planned to allow for adding the prior dnsities to the posterior density graphs,
as this can be easily implemented by the user, but is more difficult to do generally.
As with ci and distill, only plot need be called by the user. The appropriate choice of the other
functions is automatically determined from the fevd fitted object.
Note that when blocks are provided to fevd, certain plots that require the full set of observations
(including non-exceedances) cannot be produced.
Summaries and Printing:
summary and print method functions are available, and give different information depending on the
estimation method used. However, in each case, the parameter estimates are printed to the screen.
summary returns some useful output (similar to distill, but in a list format). The print method
function need not be called as one can simply type the name of the fevd fitted object and return to
execute the command (see examples below). The deviance information criterion (DIC) is calculated
for the Bayesian estimation method as DIC = D(mean(theta)) + 2 * pd, where pd = mean(D(theta))
- D(mean(theta)), and D(theta) = -2 * log-likelihood evaluated at the parameter values given by
theta. The means are taken over the posterior MCMC sample. The default estimation method for
the parameter values from the MCMC sample is to take the mean of the sample (after removing
the first burn.in samples). A good alternative is to set the FUN argument to “postmode” in order to
obtain the posterior mode of the sample.
Using Blocks to Reduce Computation in PP Fitting:
If blocks is supplied, the user should provide only the exceedances and not all of the data values.
For stationary models, the list should contain a component called nBlocks indicating the number of
observations within a block, where blocks are defined in a manner analogous to that used in GEV
models. For nonstationary models, the list may contain one or more of several components. For
48 fevd
nonstationary models with covariates, the list should contain a data component analogous to the
data argument, providing values for the blocks. If the threshold varies, the list should contain a
threshold component that is analogous to the threshold argument. If some of the observations
within any block are missing (assuming missing at random or missing completely at random), the
list should contain a proportionMissing component that is a vector with one value per block
indicating the proportion of observations missing for the block. To weight the blocks, the list can
contain a weights component with one value per block. Warning: to properly analyze nonstationary
models, any covariates, thresholds, and weights must be constant within each block.
Value
fevd: A list object of class “fevd” is returned with components:
call the function call. Used as a default for titles in plots and output printed to the
screen (e.g., by summary).
data.name character vector giving the name of arguments: x and data. This is used by the
datagrabber method function, as well as for some plot labeling.
data.pointer, cov.pointer, cov.data, x, x.fun
Not all of these are included, and which ones are depend on how the data are
passed to fevd. These may be character strings, vectors or data frames depend-
ing again on the original function call. They are used by datagrabber in order
to obtain the original data. If x is a column of data, then x.fun is a formula
specifying which column. Also, if x is a formula, then x.fun is this self-same
formula.
in.data logical; is the argument x a column of the argument data (TRUE) or not (FALSE)?
method character string naming which estimation method ws used for the fit. Same as
method argument.
type character string naming which EVD was fit to the data. Same as type argument.
period.basis character string naming the period for return periods. This is used in plot label-
ing and naming, e.g., output from ci. Same as the argument passed in.
units Not present if not passed in by the user. character string naming the data units.
Used for plot labeling.
par.models A list object giving the values of the threshold and parameter function argu-
ments, as well as a logical stating whether the log of the scale parameter is used
or not. This is present even if it does not make sense (i.e., for L-moments estima-
tion) because it is used by the is.fixedfevd function for determining whether
or not a model is stationary or not.
const.loc, const.scale, const.shape
logicals stating whether the named parameter is constant (TRUE) or not (FALSE).
Currently, not used, but could be useful. Still present even for L-moments esti-
mation even though it does not really make sense in this context (will always be
true).
n the length of the data to which the model is fit.
span, npy For POT models only, this is the estimated number of periods (usually years)
and number of points per period, both estimated using time.units
na.action character naming the function used for handling missing values.
fevd 49
results If L-moments are used, then this is a simple vector of length equal to the number
of parameters of the model. For MLE/GMLE, this is a list object giving the out-
put from optim (in particular, the par component is a vector giving the parameter
estimates). For Bayesian estimation, this is a matrix whose rows give the results
for each iteration of the MCMC simulations. The columns give the parameters,
as well as an additional last column that gives the number of parameters that
were updated at each iteration.
priorFun, priorParams
These are only present for GMLE and Bayesian estimation methods. They give
the prior df and optional arguments used in the estimation.
proposalFun, proposalParams
These are only present for Bayesian estimation, and they give the proposal func-
tion used along with optional arguments.
chain.info If estimation method is “Bayesian”, then this component is a matrix whose first
several columns give 0 or 1 for each parameter at each iteration, where 0 indi-
cates that the parameter was not updated and 1 that it was. The first row is NA
for these columns. the last two columns give the likelihood and prior values for
the current parameter values.
chain.info matrix whose first n columns give a one or zero depending on whether the pa-
rameter was updated or not, resp. The last two columns give the log-likelihood
and prior values associated with the parameters of that sample.
blocks Present only if blocks is supplied as an argument. Will contain the input in-
formation and computed block-level information for use in post-processing the
model object, in particular block-wise design matrices.
print: Does not return anything. Information is printed to the screen.

summary: Depending on the estimation method, either a numeric vector giving the parameter es-
timates (“Lmoments”) or a list object (all other estimation methods) is returned invisibly, and if
silent is FALSE (default), then summary information is printed to the screen. List components
may include:
par, se.theta numeric vectors giving the parameter and standard error estimates, resp.
cov.theta matrix giving the parameter covariances.
nllh number giving the value of the negative log-likelihood.
AIC, BIC, DIC numbers giving the Akaike Information Criterion (AIC, Akaike, 1974), the Bayesian
Information Criterion (BIC, Schwarz, 1978), and/or the Deviance Information
Criterion, resp.
Author(s)
Eric Gilleland
References
Akaike, H. (1974). A new look at the statistical model identification. IEEE Transactions on Auto-
matic Control, 19, 716–723.
50 fevd
Beirlant, J., Goegebeur, Y., Teugels, J. and Segers, J. (2004). Statistics of Extremes: Theory and
Coles, S. G. (2001). An introduction to statistical modeling of extreme values, London: Springer-
Verlag.
Coles, S. G. and Dixon, M. J. (1999). Likelihood-based inference for extreme value models. Ex-
tremes, 2 (1), 5–23.
El Adlouni, S., Ouarda, T. B. M. J., Zhang, X., Roy, R, and Bob\’ee, B. (2007). Generalized maxi-
mum likelihood estimators for the nonstationary generalized extreme value model. Water Resources
Research, 43, W03410, doi: 10.1029/2005WR004545, 13 pp.
Eos, 11 January, 92, (2), 13–14.
de Haan, L. and Ferreira, A. (2006). Extreme Value Theory: An Introduction. New York, NY, USA:
Springer, 288pp.
Jenkinson, A. F. (1955). The frequency distribution of the annual maximum (or minimum) of
meteorological elements. Quart. J. R. Met. Soc., 81, 158–171.
Martins, E. S. and Stedinger, J. R. (2000). Generalized maximum likelihood extreme value quantile
estimators for hydrologic data. Water Resources Research, 36 (3), 737–744.
Martins, E. S. and Stedinger, J. R. (2001). Generalized maximum likelihood Pareto-Poisson esti-
mators for partial duration series. Water Resources Research, 37 (10), 2551–2557.
Pickands, J. (1975). Statistical inference using extreme order statistics. Annals of Statistics, 3,
119–131.
Reiss, R.-D. and Thomas, M. (2007). Statistical Analysis of Extreme Values: with applications to
Schwarz, G. E. (1978). Estimating the dimension of a model. Annals of Statistics, 6, 461–464.
Smith, R. L. and Shively, T. S. (1995). A point process approach to modeling trends in tropospheric
ozone. Atmospheric Environment, 29, 3489–3499.
von Mises, R. (1936). La distribution de la plus grande de n valeurs, Rev. Math. Union Interbal-
canique 1, 141–160.
See Also
ci.fevd for obtaining parameter and return level confidence intervals.
distill.fevd for stripping out a vector of parameter estimates and perhaps other pertinent infor-
mation from an fevd object.
For functions to find the density, probability df, quantiles and simulate data from, an EV df, see:
devd, pevd, qevd, revd
For functions to find the probability df and simulate random data from a fitted model from fevd,
see: pextRemes, rextRemes
For functions to determine if the extreme data are independent or not, see: extremalindex, atdf
For functions to help choose a threshold, see: threshrange.plot, mrlplot
To decluster stationary dependent extremes, see: decluster
For more on formulas in R, see: formula
fevd 51
To grab the parameters of a fitted fevd model, see: findpars

To calculate the parameter covariance, see: optimHess, parcov.fevd
To see more about the extRemes method functions described here, see: ci and distill
To calculate effective return levels and CI’s for MLE and Bayesian estimation of non-stationary
models, see ci.rl.ns.fevd.bayesian, ci.rl.ns.fevd.mle and return.level
To obtain the original data set from a fitted fevd object, use: datagrabber
To calculate the profile likelihood, see: profliker
To test the statistical significance of nested models with additional parameters, see: lr.test
To find effective return levels for non-stationary models, see: erlevd
To determine if an fevd object is stationary or not, use: is.fixedfevd and check.constant
For more about the plots created for fevd fitted objects, see: ppoints, density, hist, qqplot
For general numerical optimization in R, see: optim
Examples
z <- revd(100, loc=20, scale=0.5, shape=-0.2)

fit <- fevd(z)
fit
plot(fit)
plot(fit, "trace")
## Not run:
## Fitting the GEV to block maxima.
# Port Jervis, New York winter maximum and minimum

# temperatures (degrees centigrade).
data(PORTw)
# Gumbel
fit0 <- fevd(TMX1, PORTw, type="Gumbel", units="deg C")
fit0
plot(fit0)
plot(fit0, "trace")
return.level(fit0)
# GEV
fit1 <- fevd(TMX1, PORTw, units="deg C")
fit1
plot(fit1)
plot(fit1, "trace")
return.level(fit1)
return.level(fit1, do.ci=TRUE)
ci(fit1, return.period=c(2,20,100)) # Same as above.
lr.test(fit0, fit1)
ci(fit1, type="parameter")
par(mfrow=c(1,1))
52 fevd
ci(fit1, type="parameter", which.par=3, xrange=c(-0.4,0.01),

nint=100, method="proflik", verbose=TRUE)
# 100-year return level

ci(fit1, method="proflik", xrange=c(22,28), verbose=TRUE)
plot(fit1, "probprob")
plot(fit1, "qq")
plot(fit1, "hist")
plot(fit1, "hist", ylim=c(0,0.25))
# Non-stationary model.
# Location as a function of AO index.
fit2 <- fevd(TMX1, PORTw, location.fun=~AOindex, units="deg C")

fit2
plot(fit2)
plot(fit2, "trace")
# warnings are not critical here.
# Sometimes the nllh or gradients
# are not defined.
return.level(fit2)
v <- make.qcov(fit2, vals=list(mu1=c(-1, 1)))

return.level(fit2, return.period=c(2, 20, 100), qcov=v)
# Note that first row is for AOindex = -1 and second

# row is for AOindex = 1.
lr.test(fit1, fit2)
# Also compare AIC and BIC
look1 <- summary(fit1, silent=TRUE)

look1 <- c(look1$AIC, look1$BIC)
look2 <- summary(fit2, silent=TRUE)

look2 <- c(look2$AIC, look2$BIC)
# Lower AIC/BIC is better.

names(look1) <- names(look2) <- c("AIC", "BIC")
look1
look2
par(mfrow=c(1,1))
plot(fit2, "rl")
## Fitting the GP df to threshold excesses.
# Hurricane damage data.
data(damage)
fevd 53
ny <- tabulate(damage$Year)
# Looks like only, at most, 5 obs per year.
ny <- mean(ny[ny > 0])

fit0 <- fevd(Dam, damage, threshold=6, type="Exponential", time.units="2.05/year")
fit0
plot(fit0)
plot(fit0, "trace") # ignore the warning.
fit1 <- fevd(Dam, damage, threshold=6, type="GP", time.units="2.05/year")

fit1
plot(fit1) # ignore the warning.
plot(fit1, "trace")
return.level(fit1)
# lr.test(fit0, fit1)
# Fort Collins, CO precipitation
data(Fort)
## GP df
fit <- fevd(Prec, Fort, threshold=0.395, type="GP", units="inches", verbose=TRUE)

fit
plot(fit)
plot(fit, "trace")
ci(fit, type="parameter")
par(mfrow=c(1,1))
ci(fit, type="return.level", method="proflik", xrange=c(4,7.5), verbose=TRUE)
ci(fit, type="parameter", which.par=2, method="proflik", xrange=c(0.1, 0.3),

verbose=TRUE)
## PP model.
fit <- fevd(Prec, Fort, threshold=0.395, type="PP", units="inches", verbose=TRUE)

fit
plot(fit)
plot(fit, "trace")
# Same thing, but just to try a different optimization method.

# And, for fun, a different way of entering the data set.
fit <- fevd(Fort$Prec, threshold=0.395, type="PP",
optim.args=list(method="Nelder-Mead"), units="inches", verbose=TRUE)
fit
54 fevd
plot(fit)
plot(fit, "trace")
## PP model with blocks argument for computational efficiency # CJP2
system.time(fit <- fevd(Prec, Fort, threshold=0.395, type="PP", units="inches", verbose=TRUE))
FortSub = Fort[Fort$Prec > 0.395, ]

system.time(fit.blocks <- fevd(Prec, FortSub, threshold=0.395,
type="PP", units="inches", blocks = list(nBlocks = 100), verbose=TRUE))
fit.blocks
plot(fit.blocks)
plot(fit.blocks, "trace")
ci(fit.blocks, type="parameter")
#
# Phoenix data
#
# Summer only with 62 days per year.
data(Tphap)
plot(MinT~ Year, data=Tphap)
# GP df
fit <- fevd(-MinT ~1, Tphap, threshold=-73, type="GP", units="deg F",
time.units="62/year", verbose=TRUE)
fit
plot(fit)
plot(fit, "trace")
# PP
fit <- fevd(-MinT ~1, Tphap, threshold=-73, type="PP", units="deg F", time.units="62/year",
use.phi=TRUE, optim.args=list(method="BFGS", gr=NULL), verbose=TRUE)
fit
plot(fit)
plot(fit, "trace")
# Non-stationary models
fit <- fevd(Prec, Fort, threshold=0.395,

scale.fun=~sin(2 * pi * (year - 1900)/365.25) + cos(2 * pi * (year - 1900)/365.25),
type="GP", use.phi=TRUE, verbose=TRUE)
fit
plot(fit)
plot(fit, "trace")
# Non-constant threshold.
fevd 55
# GP
fit <- fevd(Prec, Fort, threshold=0.475, threshold.fun=~I(-0.15 * cos(2 * pi * month / 12)),
type="GP", verbose=TRUE)
fit
plot(fit)
par(mfrow=c(1,1))
plot(fit, "rl", xlim=c(0, 365))
# PP
fit <- fevd(Prec, Fort, threshold=0.475, threshold.fun=~I(-0.15 * cos(2 * pi * month / 12)),

type="PP", verbose=TRUE)
fit
plot(fit)
## Bayesian PP with blocks for computational efficiency

## Note that 1999 iterations may not be sufficient; used here to
## minimize time spent fitting.
# CJP2
## CJP2: Eric, CRAN won't like this being run as part of the examples
## as it takes a long time; we'll probably want to wrap this in a \dontrun{}
set.seed(0)
system.time(fit <- fevd(Prec, Fort, threshold=0.395,
scale.fun=~sin(2 * pi * (year - 1900)/365.25) + cos(2 * pi * (year - 1900)/365.25),
type="PP", method="Bayesian", iter=1999, use.phi=TRUE, verbose=TRUE))
fit
set.seed(0)
FortSub <- Fort[Fort$Prec > 0.395, ]
system.time(fit2 <- fevd(Prec, FortSub, threshold=0.395,
scale.fun=~sin(2 * pi * (year - 1900)/365.25) + cos(2 * pi * (year -
1900)/365.25), type="PP", blocks = list(nBlocks= 100, data =
data.frame(year = 1900:1999)), use.phi=TRUE, method = "Bayesian",
iter=1999, verbose=TRUE))
# an order of magnitude faster
fit2
ci(fit2, type="parameter")
data(ftcanmax)
fit <- fevd(Prec, ftcanmax, units="inches")

fit
plot(fit)
par(mfrow=c(1,1))
plot(fit, "probprob")
plot(fit, "hist")
plot(fit, "hist", ylim=c(0,0.01))
plot(fit, "density", ylim=c(0,0.01))
plot(fit, "trace")
56 fevd
distill(fit)
distill(fit, cov=FALSE)
fit2 <- fevd(Prec, ftcanmax, location.fun=~Year)

fit2
plot(fit2)
##
# plot(fit2, "trace") # Gives warnings because of some NaNs produced
# (nothing to worry about).
lr.test(fit, fit2)
ci(fit)
fit0 <- fevd(Prec, ftcanmax, type="Gumbel")

fit0
plot(fit0)
lr.test(fit0, fit)
plot(fit0, "trace")
ci(fit, return.period=c(2, 20, 100))

ci(fit, type="return.level", method="proflik", return.period=20, verbose=TRUE)
ci(fit, type="parameter", method="proflik", which.par=3, xrange=c(-0.1,0.5), verbose=TRUE)
# L-moments
fitLM <- fevd(Prec, ftcanmax, method="Lmoments", units="inches")
fitLM # less info.
plot(fitLM)
# above is slightly slower because of the parametric bootstrap
# for finding CIs in return levels.
par(mfrow=c(1,1))
plot(fitLM, "density", ylim=c(0,0.01))
# GP model.
# CJP2 : fixed so have 744/year (31 days *24 hours/day)
data(Denversp)
fitGP <- fevd(Prec, Denversp, threshold=0.5, type="GP", units="mm",

fitGP
plot(fitGP)
plot(fitGP, "trace")
# you can see the difficulty in getting good numerics here.
# the warnings are not a coding problem, but challenges in
# the likelihood for the data.
fevd 57
# PP model.
fitPP <- fevd(Prec, Denversp, threshold=0.5, type="PP", units="mm",
fitPP
plot(fitPP)
plot(fitPP, "trace")
fitPP <- fevd(Prec, Denversp, threshold=0.5, type="PP", optim.args=list(method="Nelder-Mead"),

time.units="744/year", units="mm", verbose=TRUE)
fitPP
plot(fitPP) # Much better.
plot(fitPP, "trace")
# Better than above, but can see the difficulty!
# Can see the importance of good starting values!
# Try out for small samples

# Using one of the data example from Martins and Stedinger (2000)
z <- c( -0.3955, -0.3948, -0.3913, -0.3161, -0.1657, 0.3129, 0.3386, 0.5979,
1.4713, 1.8779, 1.9742, 2.0540, 2.6206, 4.9880, 10.3371 )
tmpML <- fevd( z ) # Usual MLE.
# Find 0.999 quantile for the MLE fit.

# "True" 0.999 quantile is around 11.79
p <- tmpML$results$par
qevd( 0.999, loc = p[ 1 ], scale = p[ 2 ], shape = p[ 3 ] )
tmpLM <- fevd(z, method="Lmoments")

p <- tmpLM$results
tmpGML <- fevd(z, method="GMLE")

p <- tmpGML$results$par
plot(tmpLM)
dev.new()
plot(tmpGML)
# Bayesian
fitB <- fevd(Prec, ftcanmax, method="Bayesian", verbose=TRUE)
fitB
plot(fitB)
plot(fitB, "trace")
# Above looks good for scale and shape, but location does not appear to have found its way.
fitB <- fevd(Prec, ftcanmax, method="Bayesian", priorParams=list(v=c(1, 10, 10)), verbose=TRUE)
fitB
plot(fitB)
plot(fitB, "trace")
# Better, but what if we start with poor initial values?

58 fevd
fitB <- fevd(Prec, ftcanmax, method="Bayesian", priorParams=list(v=c(0.1, 10, 0.1)),

initial=list(location=0, scale=0.1, shape=-0.5)), verbose=TRUE)
fitB
plot(fitB)
plot(fitB, "trace")
##
## Non-constant threshold.
##
data(Tphap)
# Negative of minimum temperatures.

plot(-Tphap$MinT)
fitGP2 <- fevd(-MinT ~1, Tphap, threshold=c(-70,-7), threshold.fun=~I((Year - 48)/42), type="GP",

fitGP2
plot(fitGP2)
plot(fitGP2, "trace")
par(mfrow=c(1,1))
plot(fitGP2, "hist")
plot(fitGP2, "rl")
ci(fitGP2, type="parameter")
##
## Non-stationary models.
##
data(PORTw)
# GEV
fitPORTstdmax <- fevd(PORTw$TMX1, PORTw, scale.fun=~STDTMAX, use.phi=TRUE)
plot(fitPORTstdmax)
plot(fitPORTstdmax, "trace")
# One can see how finding the optimum value numerically can be tricky!
# Bayesian
fitPORTstdmaxB <- fevd(PORTw$TMX1, PORTw, scale.fun=~STDTMAX, use.phi=TRUE,
method="Bayesian", verbose=TRUE)
fitPORTstdmaxB
plot(fitPORTstdmaxB)
plot(fitPORTstdmaxB, "trace")
# Let us go crazy.
fitCrazy <- fevd(PORTw$TMX1, PORTw, location.fun=~AOindex + STDTMAX, scale.fun=~STDTMAX,
shape.fun=~STDMIN, use.phi=TRUE)
fitCrazy
plot(fitCrazy)
plot(fitCrazy, "trace")
# With so many parameters, you may need to stretch the device
# using your mouse in order to see them well.
findAllMCMCpars 59
ci(fitCrazy, type="parameter", which=2) # Hmmm. NA NA. Not good.

ci(fitCrazy, type="parameter", which=2, method="proflik", verbose=TRUE)
# Above not quite good enough (try to get better bounds).
ci(fitCrazy, type="parameter", which=2, method="proflik", xrange=c(0, 2), verbose=TRUE)

# Much better.
##
## Center and scale covariate.
##
data(Fort)
fitGPcross <- fevd(Prec, Fort, threshold=0.395,

scale.fun=~cos(day/365.25) + sin(day/365.25) + I((year - 1900)/99),
type="GP", use.phi=TRUE, units="inches")
fitGPcross
plot(fitGPcross) # looks good!
# Get a closer look at the effective return levels.

par(mfrow=c(1,1))
plot(fitGPcross, "rl", xlim=c(10000,12000))
lr.test(fitGPfc, fitGPcross)
## End(Not run)
findAllMCMCpars Manipulate MCMC Output from fevd Objects
Description
Manipulates the MCMC sample from an “fevd” object to be in a unified format that can be used in
other function calls.
Usage
findAllMCMCpars(x, burn.in = 499, qcov = NULL, ...)
Arguments
x Object of class “fevd” with component method = “Bayesian”.
burn.in Burn in period.
qcov Matrix giving specific covariate values. See ’make.qcov’ for more details. If not
suplied, original covariates are used.
... Not used.
60 findpars
Details
This function was first constructed for use by postmode, but might be useful in other areas as well.
It evaluates any parameters that vary according to covariates at the values supplied by qcov or else
at the covariate values used to obtain the original fit (default). If a model does not contain one or
more parameters (e.g., the GP does not have a location component), then a column with these values
(set to zero) are returned. That is, a matrix with columns corresponding to location, scale, shape
and threshold are returned regardless of the model fit so that subsequent calls to functions like fevd
can be made more easily.
This function is intended more as an internal function, but may still be useful to end users.
This function is very similar to findpars, but is only for MCMC samples and returns the entire
MCMC sample of parameters. Also, returns a matrix instead of a list.
Value
A matrix is returned whose rows correspond to the MCMC samples (less burn in), and whose
columns are “location” (if no location parameter is in the model, this column is still given with all
values identical to zero), “scale”, “shape” and “threshold”.
Author(s)
Eric Gilleland
See Also
fevd, findpars, postmode
findpars Get EVD Parameters
Description
Obtain the parameters from an fevd object. This function differs greatly from distill.
Usage
findpars(x, ...)

findpars(x, ...)

findpars(x, burn.in = 499, FUN = "mean",
use.blocks = FALSE, ..., qcov = NULL)

findpars(x, ...)
findpars 61

findpars(x, use.blocks = FALSE, ..., qcov = NULL)
Arguments
x A list object of class “fevd” as returned by fevd.
burn.in number giving the burn in value. The first 1:burn.in will not be used in obtaining
parmaeter estiamtes.
FUN character string naming a function, or a function, to use to find the parameter
estimates from the MCMC sample. Default is to take the posterior mean (after
burn in).
use.blocks logical: If TRUE and x was fit with blocks provided, returns parameters for each
block
... Not used.
qcov numeric matrix with rows the same length as q and columns equal to the number
of parameters (+ 1 for the threshold, if a POT model). This gives any covari-
ate values for a nonstationary model. If NULL, and model is non-stationary,
only the intercept terms for modeled parameters are used, and if a non-constant
threshold, only the first threshold value is used. Not used if model is stationary.
Details
This function finds the EVD parameters for each value of the covariates in a non-stationary model.
In the case of a stationary model, it will return vectors of length equal to the length of the data that
simply repeat the parameter(s) value(s).
Note that this differs greatly from distill, which simply returns a vector of the length of the
number of parameters in the model. This function returns a named list containing the EVD pa-
rameter values possibly for each value of the covariates used to fit the model. For example, if a
GEV(location(t), scale, shape) is fit with location(t) = mu0 + mu1 * t, say, then the “location” com-
ponent of the returned list will have a vector of mu0 + mu1 * t for each value of t used in the model
fit.
Value
A list object is returned with components
location, scale, shape

vector of parameter values (or NULL if the parameter is not in the model).
For stationary models, or for parameters that are fixed in the otherwise non-
stationary model, the vectors will repeat the parameter value. The length of the
vectors equals the length of the data used to fit the models.
Author(s)
Eric Gilleland
62 Flood
See Also
fevd, distill, parcov.fevd
Examples
fit <- fevd(z)
fit
findpars(fit)
## Not run:
data(PORTw)
fit
findpars(fit)
## End(Not run)
Flood United States Total Economic Damage Resulting from Floods
Description
United States total economic damage (in billions of U.S. dollars) caused by floods by hydrologic
year from 1932-1997. See Pielke and Downton (2000) for more information.
Usage
data(Flood)
Format
OBS a numeric vector giving the line number.

HYEAR a numeric vector giving the hydrologic year.
USDMG a numeric vector giving total economic damage (in billions of U.S. dollars) caused by
floods.
DMGPC a numeric vector giving damage per capita.
LOSSPW a numeric vector giving damage per unit wealth.
Fort 63
Details
From Pielke and Downton (2000):
The National Weather Service (NWS) maintains a national flood damage record from 1903 to the
present, and state level data from 1983 to the present. The reported losses are for "significant flood
events" and include only direct economic damage that results from flooding caused by ranfall and/or
snowmelt. The annual losses are based on "hydrologic years" from October through September.
Flood damage per capita is computed by dividing the inflation-adjusted losses for each hydrological
year by the estimated population on 1 July of that year (www.census.gov). Flood damage per million
dollars of national wealth uses the net stock of fixed reproducible tangible wealth in millions of
current dollars (see Pielke and Downton (2000) for more details; see also Katz et al. (2002) for
analysis).
Source
NWS web site: http://www.nws.noaa.gov/oh/hic
References
Katz, R. W., Parlange, M. B. and Naveau, P. (2002) Statistics of extremes in hydrology, Advances
Pielke, R. A. Jr. and Downton, M. W. (2000) Precipitation and damaging floods: trends in the
United States, 1932-97, Journal of Climate, 13, (20), 3625–3637.
Examples
data(Flood)
plot( Flood[,2], Flood[,3], type="l", lwd=2, xlab="hydrologic year",
ylab="Total economic damage (billions of U.S. dollars)")
Fort Daily precipitation amounts in Fort Collins, Colorado.
Description
Daily precipitation amounts (inches) from a single rain gauge in Fort Collins, Colorado. See Katz
et al. (2002) Sec. 2.3.1 for more information and analyses.
Usage
data(Fort)
Format
A data frame with dimension 36524 by 5. Columns are: "obs", "tobs", "month", "day", "year" and
"Prec"; where "Prec" is the daily precipitation amount (inches).
64 fpois
Source
References
Examples
data(Fort)
str(Fort)
plot(Fort[,"month"], Fort[,"Prec"], xlab="month", ylab="daily precipitation (inches)")
fpois Fit Homogeneous Poisson to Data and Test Equality of Mean and Vari-
ance
Description
Fit a homogeneous Poisson to data and test whether or not the mean and variance are equal.
Usage
fpois(x, na.action = na.fail, ...)
## Default S3 method:
fpois(x, na.action = na.fail, ...)

fpois(x, na.action = na.fail, ..., which.col = 1)
## S3 method for class 'matrix'

fpois(x, na.action = na.fail, ..., which.col = 1)
## S3 method for class 'list'

fpois(x, na.action = na.fail, ..., which.component = 1)
Arguments
x numeric, matrix, data frame or list object containing the data to which the Pois-
son is to be fit.
fpois 65
... Not used.

which.col,which.component
column or component (list) number containing the data to which the Poisson is
to be fit.
Details
The probability function for the (homogeneous) Poisson distribution is given by:
Pr( N = k ) = exp(-lambda) * lambda^k / k!
for k = 0, 1, 2, ...
The rate parameter, lambda, is both the mean and the variance of the Poisson distribution. To test
the adequacy of the Poisson fit, therefore, it makes sense to test whether or not the mean equals
the variance. R. A. Fisher showed that under the assumption that X_1, ..., X_n follow a Poisson
distribution, the statistic given by:
D = (n - 1) * var(X_1) / mean(X_1)
follows a Chi-square distribution with n - 1 degrees of freedom. Therefore, the p-value for the one-
sided alternative (greater) is obtained by finding the probability of being greater than D based on a
Chi-square distribution with n - 1 degrees of freedom.
Value
A list of class “htest” is returned with components:
statistic The value of the dispersion D

parameter named numeric vector giving the estimated mean, variance, and degrees of free-
dom.
alternative character string with the value “greater” indicating the one-sided alternative hy-
pothesis.
p.value the p-value for the test.
method character string stating the name of the test.
data.name character naming the data used by the test (if a vector is applied).
Author(s)
Eric Gilleland
See Also
glm
Examples
data(Rsum)
fpois(Rsum$Ct)
## Not run:
66 ftcanmax
# Because 'Rsum' is a data frame object,

# the above can also be carried out as:
fpois(Rsum, which.col = 3)
# Or:
fpois(Rsum, which.col = "Ct")
##
## For a non-homogeneous fit, use glm.
##
## For example, to fit the non-homogeneous Poisson model
## Enso as a covariate:
##
fit <- glm(Ct~EN, data = Rsum, family = poisson())

summary(fit)
## End(Not run)
ftcanmax Annual Maximum Precipitation: Fort Collins, Colorado
Description
Annual maximum precipitation (inches) for one rain gauge in Fort Collins, Colorado from 1900
through 1999. See Katz et al. (2002) Sec. 2.3.1 for more information and analyses.
Usage
data(ftcanmax)
Format
Year a numeric vector giving the Year.

Prec a numeric vector giving the annual maximum precipitation amount in inches.
Source
The annual maximum precipitation data is taken directly from the daily precipitation data available
in this package under the name “Fort”.
HEAT 67
References
Examples
data(ftcanmax)
str(ftcanmax)
plot(ftcanmax, type="l", lwd=2)
HEAT Summer Maximum and Minimum Temperature: Phoenix, Arizona
Description
Summer maximum and minimum temperature (degrees Fahrenheit) for July through August 1948
through 1990 at Sky Harbor airport in Phoenix, Arizona.
Usage
data(HEAT)
Format
Year a numeric vector giving the number of years since 1900.

Tmax a numeric vector giving the Summer maximum temperatures in degrees Fahrenheit.
Tmin a numeric vector giving the Summer minimum temperatures in degrees Fahrenheit.
Details
Data is Summer maximum and minimum temperature for the months of July through August from
1948 through 1990.
Source
U.S. National Weather Service Forecast office at the Phoenix Sky Harbor Airport.
References
Balling, R. C., Jr., Skindlov, J. A. and Phillips, D. H. (1990) The impact of increasing summer
mean temperatures on extreme maximum and minimum temperatures in Phoenix, Arizona. Journal
of Climate, 3, 1491–1494.
Tarleton, L. F. and Katz, R. W. (1995) Statistical explanation for trends in extreme summer temper-
atures at Phoenix, A.Z. Journal of Climate, 8, (6), 1704–1708.
68 hwmi
Examples
data(HEAT)
str(HEAT)
plot(HEAT)
hwmi Heat Wave Magnitude Index
Description
This function computes the Heat Wave Magnitude Index and the associated duration and starting
date of a heat wave event.
Usage
hwmi(yTref, Tref, yTemp, Temp)
Arguments
yTref a single numeric value giving the starting year of Tref
Tref a numeric vector of daily maximum temperatures for a 32-year reference period
used to calculate threshold and empirical cumulative distribution function (ecdf).
yTemp a single numeric value giving the starting year of Temp
Temp a numeric vector of daily maximum temperature for at least one year (with
length not shorter than 365 days) or n-years (each with length not shorter than
365 days) containing the data to which the HWMI is to be calculated.
Details
This function takes a daily maximum temperature time series as input and computes the climate
index HWMI (Heat Wave Magnitude Index). The Heat Wave Magnitude Index is defined as the
maximum magnitude of the heat waves in a year. A “heat wave” is defined as a sequence of 3 or
more days in which the daily maximum temperature is above the 90th percentile of daily maximum
temperature for a 31-day running window surrounding this day during the baseline period (e.g.,
1981-2010).
Note that the argument Tref must have daily maximum temperatures for a 32-year period (e.g.,
using the baseline period of 1981 to 2010, Tref must be for 1980 through 2011). The first and the
32nd years are needed to calculate the daily threshold over the first and the last year of the baseline
period (1981-2010).
If HWMI is calculated in the Southern Hemisphere, then, in order not to split a Heat Wave event
into two, the year should start on the 1st of July and end on the 30th of June of the following year.
In other words:
1. Tref will be from the 1st of July 1980 up to the 30th of June 2012
2. Similarly for Temp, each 365 days in a year must be taken between the 1st of July and the 30th
of June.
hwmi 69
Value
A list with the following components: hwmi: a numeric vector containing the hwmi value for
each year and the associated duration and starting day (number between 1 and 365) for each heat
wave event in a year. thr: a numeric vector containing 365 temperature values representing the
daily threshold for the reference period (1981-2010 or any other 30 years period). pdfx: the "n" (n
was fixed to 512) coordinates of the points (sum of three daily maximum temperatures) where the
density is estimated. pdfy: the estimated density values. These will be non-negative, but can be
zero.
Author(s)
Simone Russo <[email protected]>
References
http://www.nature.com/news/russian-summer-tops-universal-heatwave-index-1.16250
Examples
tiid <- CarcasonneHeat[2,]
jan1980 <- which(tiid == 19800101)

jan2003 <- which(tiid == 20030101)
dec2003 <- which(tiid == 20031231)
dec2011 <- which(tiid == 20111231)
Temp <- CarcasonneHeat[3, jan2003:dec2003] / 10

Tref <- CarcasonneHeat[3, jan1980:dec2011] / 10
##hwmi calculation
hwmiFr2003 <- hwmi(1980, Tref, 2003, Temp)
#### Heat Wave occurred in Carcassonne, France, 2003
plot(c(150:270), Temp[150:270], xlim = c(150, 270),

ylim = c((min(hwmiFr2003$thr[150:270]) -
sd(hwmiFr2003$thr[150:270])), max(Temp[150:270])),
xlab = "days", ylab = "temperature", col = 8)
par(new = TRUE)
plot(c(150:270), hwmiFr2003$thr[150:270], type = "l",
xlim = c(150,270),
ylim = c((min(hwmiFr2003$thr[150:270]) - sd(hwmiFr2003$thr[150:270])),
max(Temp)), xlab = "", ylab = "", col = 1, lwd = 2)
par(new = TRUE)
70 hwmid
plot(c(hwmiFr2003$hwmi[1,3]:(hwmiFr2003$hwmi[1,3] + hwmiFr2003$hwmi[1,2]-1)),
Temp[hwmiFr2003$hwmi[1,3]:(hwmiFr2003$hwmi[1,3] + hwmiFr2003$hwmi[1,2] - 1)],
xlim = c(150,270),
ylim = c((min(hwmiFr2003$thr[150:270]) - sd(hwmiFr2003$thr[150:270])),
max(Temp[150:270])),
xlab = "", ylab = "", col = 4, type = "b",
main = "Carcassonne, France, 2003", lwd = 2)
text(175, 42, "hwmi = 3.68", col = 4, font = 2)

text(175, 41, "Duration = 12 days", col = 4, font = 2)
text(175, 40, "Starting day = 214 (02.Aug.2003)", col = 4, font = 2)
hwmid Heat Wave Magnitude Index
Description
This function computes the Heat Wave Magnitude Index and the associated duration and starting
date of a heat wave event.
Usage
hwmid(yTref, Tref, yTemp, Temp)
Arguments
yTref a single numeric value giving the starting year of Tref
Tref a numeric vector of daily maximum temperatures for a 32-year reference period
used to calculate threshold, T30ymax and T30ymin as defined below.
yTemp a single numeric value giving the starting year of Temp
Temp a numeric vector of daily maximum (minimum or mean) temperature for at least
one year (with length not shorter than 365 days) or n-years (each with length
not shorter than 365 days) containing the data to which the HWMId is to be
calculated.
Details
This function takes a daily temperature time series as input and computes the climate index HWMId
(Heat Wave Magnitude Index daily). The Heat Wave Magnitude Index daily is defined as the max-
imum magnitude of the heat waves in a year. A “heat wave” is defined as a sequence of 3 or
more days in which the daily maximum temperature is above the 90th percentile of daily maximum
temperature for a 31-day running window surrounding this day during the baseline period (e.g.,
1981-2010).
Note that the argument Tref must have daily temperatures for a 32-year period (e.g., using the
baseline period of 1981 to 2010, Tref must be for 1980 through 2011). The first and the 32nd years
are needed to calculate the daily threshold over the first and the last year of the baseline period
(1981-2010).
hwmid 71
Value
A list with the following components: hwmid: a numeric vector containing the hwmid value for
each year and the associated duration and starting day (number between 1 and 365) for each heat
wave event in a year. thr: a numeric vector containing 365 temperature values representing the
daily threshold for the reference period (1981-2010 or any other 30 years period). T30y75p: a single
numeric value giving the 75th percentile value of the time series calculated from Tref and composed
of 30-year annual maximum temperatures of the baseline period. T30y25p: a single numeric value
giving the 25th percentile value of the time series calculated from Tref and composed of 30-year
annual maximum temperatures of the baseline period.
Author(s)
Simone Russo <[email protected], [email protected]>
References
Russo, S., J. Sillmann, E. Fischer, 2015. Top ten European heatwaves since 1950 and their oc-
currence in the coming decades. Environmental Research Letters, 10, 124003, doi:10.1088/1748-
9326/10/12/124003.
http://www.nature.com/news/russian-summer-tops-universal-heatwave-index-1.16250
Examples
tiid <- CarcasonneHeat[2,]
jan1980 <- which(tiid == 19800101)

jan2003 <- which(tiid == 20030101)
dec2003 <- which(tiid == 20031231)
dec2011 <- which(tiid == 20111231)
Temp <- CarcasonneHeat[3, jan2003:dec2003] / 10

Tref <- CarcasonneHeat[3, jan1980:dec2011] / 10
##hwmid calculation
hwmidFr2003 <- hwmid(1980, Tref, 2003, Temp)
hwmiFr2003 <- hwmi(1980, Tref, 2003, Temp)
T30y25p <- hwmidFr2003$T30y25p

T30y75p <- hwmidFr2003$T30y75p
range30y <- (T30y75p - T30y25p)
#daymag<-(Temp[214:225]-hwmidFr2003$T30ymin)/(hwmidFr2003$T30ymax-hwmidFr2003$T30ymin)
#### Heat Wave occurred in Carcassonne, France, 2003
72 hwmid
split.screen( rbind( c(0, 1, 0.6, 1), c(0, 0.5, 0, 0.6), c(0.5, 1, 0, 0.6) ) )
screen(1)
par( mar = c(2, 2, 2, 0) )
plot( c(1:365), Temp[1:365], xlim = c(190, 240), ylim = c(25, 50),
xlab = "", ylab = "", cex.axis = 1.1, col = 8, font.axis = 2)
par( new = TRUE )

plot( c(150:270), hwmiFr2003$thr[150:270], type = "l",xlim = c(190, 240),
ylim = c(25, 50), xlab = "", ylab = "", col = 1, lwd = 2, axes = FALSE)
par(new = TRUE)
plot(c(214:216), Temp[214:216], xlim = c(190, 240), ylim = c(25, 50),

xlab = "", ylab = "", col = 4, type = "b", lwd = 2, axes = FALSE,
pch = "a", cex = 1.2)
par( new = TRUE)

plot(c(217:219), Temp[217:219], xlim = c(190, 240), ylim = c(25,50),
pch = "b", cex = 1.2)
par(new=TRUE)
pch = "c", cex = 1.2)
par(new=TRUE)
pch = "d", cex = 1.2)
par(new=TRUE)
plot(c(214:216), (Temp[214:216]+5), xlim = c(190, 240), ylim = c(25, 50),
pch = "a", cex = 1.2)
par(new=TRUE)
pch = "b", cex = 1.2)
par(new=TRUE)
pch = "c", cex = 1.2)
par(new=TRUE)
pch = "d", cex = 1.2)
is.fixedfevd 73
text(200, 50, "HW2", col = 3, font = 2)

text(200, 48, "HWMI=4", col = 3, font = 2)
text(200, 46, "HWMId = 41.9",col = 3, font = 2)
text(200, 42, "HW1", col = 4, font = 2)

text(200, 40, "HWMI = 3.68", col = 4, font = 2)
text(200, 38, "HWMId=18.6",col = 4, font = 2)
box()
is.fixedfevd Stationary Fitted Model Check
Description
Test if a fitted fevd object is stationary or not.
Usage
is.fixedfevd(x)
check.constant(x)
Arguments
For check.constant, this may be a formula or vector.
Details
This function is mostly intended as an internal function, but it may be useful generally.
check.constant determines if a formula is given simply by ~ 1. It is used by is.fixedfevd.
Value
logical of length one stating whether the fitted model is stationary (TRUE) or not (FALSE).
Author(s)
Eric Gilleland
See Also
fevd
74 levd
Examples
fit <- fevd(z)
fit
is.fixedfevd(fit)
levd Extreme Value Likelihood
Description
Find the EVD parameter likelihood given data.
Usage
levd(x, threshold, location, scale, shape,
type = c("GEV", "GP", "PP", "Gumbel", "Weibull", "Frechet",
"Exponential", "Beta", "Pareto"), log = TRUE, negative = TRUE,
span, npy = 365.25, infval = Inf, weights = 1, blocks = NULL)
Arguments
x A numeric vector of data of length n.
threshold number or numeric vector of length n giving the desired threshold, if applicable.
location number or numeric vector of length n giving the location parameter value(s), if
applicable.
scale number or numeric vector of length n giving the scale parameter value(s).
shape number or numeric vector of length n giving the shape parameter value(s), if
applicable.
type character string naming the particular EVD for which to compute the likelihood.
log, negative logicals; should the negative log-likelihood (default) be returned (both TRUE)
or the likelihood (both FALSE)? It is possible to return other possibilities such
as the negative likelihood (log = FALSE, negative = TRUE) or the log-likelihood
(log = TRUE, negative = FALSE).
span number stating how many periods (usually years) the data cover (applicable only
for PP models). Currently not used.
npy number of points per period (period is usually years).
infval Value to return if the likelihood is infinite. If negative is FALSE, the negative
of this value will be returned. The default is to return Inf, but noe that for opti-
mization routines, this would result in an error and stop the process. Therefore,
it can be advantageous to use a very large value instead.
weights numeric of length 1 or n giving weights to be applied in the likelihood calcula-
tion (e.g., if some data points are to be weighted more/less heavily than others).
levd 75
blocks An optional list containing information required to evaluate the likelihood of

point process models in a computationally-efficient manner by using only the
exceedances and not the observations below the threshold(s). See details.
Details
This function is called by a wrapper function within fevd and other functions. It is generally an
internal function, but may be useful for some users.
The negative log-likelihood for the generalized extreme value (GEV) df, possibly with parameters
that are functions of covariates, yi) is given by:
sum(log(scale(yi))) + sum(z^(-1/shape(yi)) + sum(log(z) * (1/shape(yi) + 1)),
where z = (x - location(yi))/scale(yi), x are the data. For the Frechet and Weibull cases, the shape
parameter is forced to have the correct sign, so it does not matter if the user chooses positive or
negative shape. In the case of shape = 0, defined by continuity (Gumbel case), the negative log-
likelihood simplifies to:
sum(log(scale(yi))) + sum(z) + sum(exp(-z)),
where z is as above.
The negative log-likelihood for the GP df is given by:
sum(log(scale(yi))) + sum( log(z) * (1/shape(yi) + 1)),
where z = 1 + shape(yi) * t, where t = (x[x > threshold] - threshold(yi))/scale(yi). Similar to the
GEV df, the Beta and Pareto cases are forced to have the correct sign for the shape parameter. In the
case of shape = 0, defined by continuity (Exponential case), the negative log-likelihood simplifies
to:
sum(log(scale(yi))) + z,
where z is as above in the GP negative log-likelihood.
See Coles (2001) for more details.
Using Blocks to Reduce Computation in PP Fitting:
When blocks is supplied, the user should provide only the exceedances and not all of the data
values. The list should contain a component called nBlocks indicating the number of observations
within a block, where blocks are defined in a manner analogous to that used in GEV models. The list
should also contain components named threshold, location, scale, shape, and weights corre-
sponding to the arguments of the same name supplied to levd, but with values on a per block basis.
If some of the observations within any block are missing (assuming missing at random or missing
completely at random), the list should contain a proportionMissing component that is a vector
with one value per block indicating the proportion of observations missing for the block. Scalar
values are allowed when a component is stationary. Warning: to properly analyze nonstationary
models, the components must be constant within each block.
Value
A single number giving the likelihood value (or negative log-likelihood or log-likelihood or negative
likelihood depending on the value of the log and negative arguments).
Author(s)
Eric Gilleland
76 lr.test
References
Verlag, 208 pp.
See Also
fevd, profliker
Examples
data(ftcanmax)
levd(ftcanmax$Prec, location=134.66520, scale=53.28089, shape=0.17363)
lr.test Likelihood-Ratio Test
Description
Conduct the likelihood-ratio test for two nested extreme value distribution models.
Usage
lr.test(x, y, alpha = 0.05, df = 1, ...)
Arguments
x,y Each can be either an object of class “fevd” (provided the fit method is MLE
or GMLE) or a single numeric giving the negative log-likelihod value for each
model. x should be the model with fewer parameters, but if both x and y are
“fevd” objects, then the order does not matter (it will be determined from which
model has more parameters).
alpha single numeric between 0 and 1 giving the significance level for the test.
df single numeric giving the degrees of freedom. If both x and y are “fevd” objects,
then the degrees of freedom will be calculated, and this argument ignored. Oth-
erwise, if either or both of x and y are single numerics, then it must be provided
or the test may be invalid.
... Not used.
lr.test 77
Details
When it is desired to incorporate covariates into an extreme value analysis, one method is to incor-
porate them into the parameters of the extreme value distributions themselves in a regression-like
manner (cf. Coles, 2001 ch 6; Reiss and Thomas, 2007 ch 15). In order to justify whether or not
inclusion of the covariates into the model is significant or not is to apply the likelihood-ratio test (of
course, the test is more general than that, cf. Coles (2001) p 35).
The test is only valid for comparing nested models. That is, the parameters of one model must be a
subset of the parameters of the second model.
Suppose the base model, m0, is nested within the model m1. Let x be the negative log-likelihood
for m0 and y for m1. Then the likelihood-ratio statistic (or deviance statistic) is given by (Coles,
2001, p 35; Reiss and Thomas, 2007, p 118):
D = -2*(y - x).
Letting c.alpha be the (1 - alpha) quantile of the chi-square distribution with degrees of freedom
equal to the difference in the number of model parameters, the null hypothesis that D = 0 is rejected
if D > c.alpha (i.e., in favor of model m1).
Value
statistic The test statistic value (referred to as D above).

parameter numeric vector giving the chi-square critical value (c.alpha described above),
the significance leve (alpha) and the degrees of freedom.
alternative character string stating “greater” indicating that the alternative decision is deter-
mined if the statistic is greater than c.alpha.
p.value numeric giving the p-value for the test. If the p-value is smaller than alpha,
then the decision is to reject the null hypothesis in favor of the model with more
parameters.
method character string saying “Likelihood-ratio Test”.
data.name character vector of length two giving the names of the datasets used for the test
(if “fevd” objects are passed) or the negative log-likelihood values if numbers
are passed, or the names of x and y. Although the names may differ, the models
should have been fit to the same data set.
Author(s)
Eric Gilleland
References
Verlag, 208 pp.
78 make.qcov
See Also
fevd, taildep.test
Examples
data(PORTw)
fit0 <- fevd(PORTw$TMX1, type="Gumbel")
fit1 <- fevd(PORTw$TMX1)
fit2 <- fevd(TMX1, PORTw, scale.fun=~STDTMAX)
lr.test(fit0, fit1)
lr.test(fit1, fit2)
make.qcov Covariate Matrix for Non-Stationary EVD Projections
Description
Create a matrix for use with pextRemes.
Usage
make.qcov(x, vals, nr = 1, ...)
is.qcov(x)
Arguments
x make.qcov: A list object of class “fevd” as output from fevd.
is.qcov: Any R object.
vals Either a named list whose names match the fitted model parameter names, or
may be “threshold”, a matrix or a numeric vector of length equal to the size of
the resulting matrix.
nr The number of rows desired in the resulting matrix. Only if vals is a vector. If
vals argument is not a vector, the code will either fail or the argument will be
ignored.
... optional arguments to matrix (e.g., byrow=TRUE, depending on the order for
vals, if a vector). Only used if vals is a vector.
Details
Simply sets up a matrix of parameter coefficients to be used by pextRemes. In particular, all pa-
rameters/thresholds that are constant (i.e., do not depend on covariate values) should have columns
of all ones. Paramters/threshold that vary in a non-stationary model may have whatever values are
of interest.
mrlplot 79
is.qcov performs some very simple tests to determine if an object is a proper qcov matrix or not.
It is possible to have a matrix that is not a proper qcov matrix, but the returned value is TRUE. It is
also possible to have a valid qcov object that id not appropriate for a particular model. Mostly this
is an internal function.
Value
An nr by np + 1 matrix is returned, where np is the number of parameters in the model. The last
column is always “threshold” even if the model does not take a threshold (e.g., the GEV df), in
which case the last column may be all NA, 0, or some other value depending on the vals argument.
Author(s)
Eric Gilleland
See Also
pextRemes, fevd, erlevd
Examples
data(PORTw)
fit
v <- cbind(rep(1,4), c(1, -1, 1, -1), rep(1,4), rep(1,4))

v <- make.qcov(fit, vals=v, nr=4)
v
# cf.
v <- make.qcov(fit, vals=list(mu1=c(1, -1, 1, -1)))
v
# Or
v <- make.qcov(fit, vals=c(rep(1,4), c(1, -1, 1, -1), rep(1,8), rep(0,4)), nr=4)
v
mrlplot Mean Residual Life Plot
Description
An empirical mean residual life plot, including confidence intervals, is produced. The mean residual
life plot aids the selection of a threshold for the GPD or point process models.
Usage
mrlplot(x, nint = 100, alpha = 0.05, na.action = na.fail, xlab = "Threshold", ...)
80 mrlplot
Arguments
x numeric vector of data.

nint Number of thresholds to use.
alpha number giving the 1 - alpha confidence levels to use.
xlab character string giving the abscissa label to use.
... optional arguments to plot.
Details
The mean excesses are found for each value of a range of thresholds that cover the range of the data
(less one at the high end). CIs are also shown based on the normal df for the mean excesses. The
goal is to find the lowest threshold such that the graph is linear with increasing thresholds, within
uncertainty.
See Coles (2001) sec. 4.3.1 for more information.
Value
A matrix with the mean excess values and their confidence bounds is returned invisibly.
Author(s)
Eric Gilleland
References
Coles, S. (2001). An introduction to statistical modeling of extreme values, London, United King-
dom: Springer-Verlag, 208 pp.
See Also
threshrange.plot
Examples
data(Fort)
mrlplot(Fort$Prec)
Ozone4H 81
Ozone4H Ground-Level Ozone Order Statistics.
Description
Ground-level ozone order statistics from 1997 at 513 monitoring stations in the eastern United
States.
Usage
data(Ozone4H)
Format
station a numeric vector identifying the station (or line) number.

r1 a numeric vector giving the maximum ozone reading (ppb) for 1997.
r2 a numeric vector giving the second-highest ozone reading (ppb) for 1997.
r3 a numeric vector giving the third-highest ozone reading (ppb) for 1997.
r4 a numeric vector giving the fourth-highest ozone reading (ppb) for 1997.
Details
Ground level ozone readings in parts per billion (ppb) are recorded hourly at ozone monitoring
stations throughout the country during the "ozone season" (roughly April to October). These data
are taken from a dataset giving daily maximum 8-hour average ozone for 5 ozone seasons (includ-
ing 1997). The new U.S. Environmental Protection Agency (EPA) National Ambient Air Quality
Standard (NAAQS) for ground-level ozone is based on a three-year average of fourth-highest daily
8-hour maximum ozone readings.
For more analysis on the original data regarding the U.S. EPA NAAQS for ground-level ozone, see
Fuentes (2003), Gilleland and Nychka (2005) and Gilleland et al. (2006). For an example of using
these data with extRemes, see the online tutorial (http://www.isse.ucar.edu/extremevalues/
evtk.html). These data are in the form required by the rlarg.fit function of Stuart Coles avail-
able in the R package ismev; see Coles (2001) for more on the r-th largest order statistic model and
the function rlarg.fit.
Source
Data was originally provided by the U.S. EPA, and can be obtained (daily maximum 8-hour average
ozone for all five seasons from 1995 to 1999) from the Geophysical Statistics Project (GSP) at the
National Center for Atmospheric Research (NCAR) at http://www.image.ucar.edu/Data/ along
with the orignal longitude/latitude coordinates for the stations.
82 parcov.fevd
References
Coles, S. (2001) An Introduction to Statistical Modeling of Extreme Values. London, U.K.: Springer-
Verlag, 208pp.
Fuentes, M. (2003) Statistical assessment of geographic areas of compliance with air quality. Jour-
nal of Geophysical Research, 108, (D24).
Gilleland, E. and Nychka, D. (2005) Statistical Models for Monitoring and Regulating Ground-level
Ozone. Environmetrics, 16, 535–546.
Gilleland, E., Nychka, D., and Schneider, U. (2006) Spatial models for the distribution of extremes.
In Applications of Computational Statistics in the Environmental Sciences: Hierarchical Bayes and
MCMC Methods, Edited by J.S. Clark & A. Gelfand. Oxford University Press. 170–183, ISBN
0-19-8569671.
Examples
data(Ozone4H)
str(Ozone4H)
plot(Ozone4H)
parcov.fevd EVD Parameter Covariance
Description
Try to calculate the parameter covariance for an extreme value distribution (EVD) fitted using MLE.
Usage
parcov.fevd(x)
Arguments
Details
Makes possibly two calls to optimHess in an effort to find the parameter covariance matrix for fitted
EVDs where MLE is used. The first attempt uses the actual gradient of the negative log-likelihood.
If this fails, or the Hessian matrix cannot be inverted, or there are any negative values along the
diagonal in the inverted Hessian, then a second attempt is made using finite differences. See Coles
(2001) sec. 2.6.4 for more details.
Value
An np by np matrix is returned where np is the number of parameters in the model.
Peak 83
Author(s)
Eric Gilleland
References
Verlag, 208 pp.
See Also
fevd, summary.fevd, print.fevd
Examples
fit <- fevd(z)
fit
parcov.fevd(fit)
Peak Salt River Peak Stream Flow
Description
Peak stream flow data from 1924 through 1999 for the Salt River near Roosevelt, Arizona.
Usage
data(Peak)
Format

Flow a numeric vector giving the peak stream flow (cfs).
Winter a numeric vector giving the Winter seasonal mean Darwin pressure (mb–1000).
Spring a numeric vector giving the Spring seasonal mean Darwin pressure (mb–1000).
Summer a numeric vector giving the Summer seasonal mean Darwin pressure (mb–1000).
Fall a numeric vector giving the Fall seasonal mean Darwin pressure (mb–1000) (see Katz et al.
(2002) Sec. 5.2.2).
84 pextRemes
Details
Peak stream flow in cfs (1 cfs=0.028317 $m^3/s$) data for water years (October through September)
from 1924 through 1999 for the Salt River near Roosevelt, Arizona. Data for 1986 are missing. Also
includes seasonal mean Darwin pressures (mb–1000).
Several analyses have been performed on streamflow at this location (see, e.g., Anderson and Meer-
schaert (1998), Dettinger and Diaz (2000); and, for extreme stream flow, Katz et al. (2002) Sec.
5.2.2).
Source
U.S. Geological Survey (http://water.usgs.gov/nwis/peak) for Salt River peak flows. NOAA
Climate Prediction Center (http://www.cpc.ncep.noaa.gov/data/indices) for seasonal mean
Darwin pressures.
References
Anderson, P. L. and Meerschaert, M. M. (1998) Modeling river flows with heavy tails. Water Resour
Res, 34, (9), 2271–2280.
Dettinger, M. D. and Diaz, H. F. (2000) Global characteristics of stream flow seasonality and vari-
ability. Journal of Hydrometeorology, 1, 289–310.
Examples
data(Peak)
str(Peak)
# Fig. 9 of Katz et al. (2002) Sec. 5.2.2.
plot(Peak[,"Year"], Peak[,"Flow"]/1000, type="l", yaxt="n",
xlab="Water year (Oct-Sept)", ylab="Annual peak flow (thousand cfs)")
axis(2,at=c(0,40,80,120),labels=c("0","40","80","120"))
pextRemes Probabilities and Random Draws from Fitted EVDs
Description
Calculate probabilities from fitted extreme value distributions (EVDs) or draw random samples
from them.
Usage
pextRemes(x, q, lower.tail = TRUE, ...)
rextRemes(x, n, ...)

pextRemes 85
pextRemes(x, q, lower.tail = TRUE, ..., qcov = NULL)

pextRemes(x, q, lower.tail = TRUE, ...,
qcov = NULL, burn.in = 499, FUN = "mean")

pextRemes(x, q, lower.tail = TRUE, ...)

pextRemes(x, q, lower.tail = TRUE, ..., qcov = NULL)


rextRemes(x, n, ..., burn.in = 499, FUN = "mean",
qcov = NULL)


rextRemes(x, n, ..., qcov = NULL)
Arguments
q Vector of quantiles.
n number of random draws to take from the model.
lower.tail logical; if TRUE (default), probabilities are P[X <= x] otherwise, P[X > x].
burn.in the burn in period.
FUN cahracter string naming a function, or a function, to be used to find the parameter
estimates from the posterior df. Default is the posterior mean.
... Not used.
Details
These functions are essentially wrapper functions for the low-level functions pevd and revd. The
idea is that they take parameter values from a fitted model in order to calculate probabilities or draw
random samples. In the case of non-stationary models, for probabilities, covariate values should be
86 pextRemes
given. If not, the intercept terms (or first threshold value) are used only; and a warning is given.
In the case of rextRemes for non-stationary values, n samples of length equal to the length of the
data set to which the model was fit are generated and returned as a matrix. In this case, the random
draws represent random draws using the current covariate values.
(GP). The point process characterization is an equivalent form, but is not handled here; parameters
are converted to those of the (approx.) equivalent GP df. The GEV df is given by
PrX <= x = G(x) = exp[-1 + shape*(x - location)/scale^(-1/shape)]
PrX <= x = F(x) = 1 - [1 + shape*(x - threshold)/scale]^(-1/shape)
shape and location are parameters from the “equivalent” GE Vdf. Similar to the GEV df, the shape
Value
A numeric vector of probabilites or random sample is returned. In the case of non-stationary models,
a matrix of random samples is returned by rextRemes.
Warning
In the case of non-stationary models, the code in its current state is somewhat less than ideal.
It requires great care on the part of the user. In particular, the qcov argument becomes critical.
Parameters that are fixed in the model can be changed if qcov is not correctly used. Any parameter
that is fixed at a given value (including the intercept terms) should have all ones in their columns.
pextRemes 87
Presently, nothing in the code will force this requirement to be upheld. Using make.qcov will help,
as it has some checks to ensure constant-valued parameters have all ones in their columns.
Note
It is recommended to use make.qcov when creating a qcov matrix.
Author(s)
Eric Gilleland
References
Verlag, 208 pp.
Springer, 288pp.
131.
canique 1, 141–160.
See Also
pevd, revd, fevd, make.qcov
Examples
fit <- fevd(z)
fit
pextRemes(fit, q=quantile(z, probs=c(0.85, 0.95, 0.99)), lower.tail=FALSE)
z2 <- rextRemes(fit, n=1000)

qqplot(z, z2)
## Not run:
data(PORTw)
fit <- fevd(TMX1, PORTw, units="deg C")
fit
pextRemes(fit, q=c(17, 20, 25, 30), lower.tail=FALSE)

88 pextRemes
# Note that fit has a bounded upper tail at:

# location - scale/shape ~
# 15.1406132 + (2.9724952/0.2171486) = 28.82937
#
# which is why P[X > 30] = 0. Note also that 25
# is less than the upper bound, but larger than
# the maximum observed value.

qqplot(z, PORTw$TMX1, xlab="Simulated Data Quantiles",
ylab="Data Quantiles (PORTw TMX1)")
# Not a great fit because data follow a non-stationary

# distribution.
fit
pextRemes(fit, q=c(17, 20, 25, 30), lower.tail=FALSE)

# Gives a warning because we did not give covariate values.
v <- make.qcov(fit, vals=list(mu1=c(1, -1, 1, -1)))

v
# find probabilities for high positive AOindex vs
# low negative AOindex. A column for the unnecessary
# threshold is added, but is not used.
pextRemes(fit, q=c(17, 17, 30, 30), qcov=v, lower.tail=FALSE)

dim(z)
qqplot(z[,1], PORTw$TMX1, xlab="Simulated Data Quantiles",
qqplot(z[,28], PORTw$TMX1, xlab="Simulated Data Quantiles",

# etc.
##
## GP model with non-constant threshold.
##
fit <- fevd(-MinT ~1, Tphap, threshold=c(-70,-7),
threshold.fun=~I((Year - 48)/42), type="GP",
fit
summary(fit$threshold)
v <- make.qcov(fit, vals=c(rep(1,8), c(-77, -73.5, -71.67, -70)), nr=4)
v
# upper bounded df at: u - scale/shape =

c(-77, -73.5, -71.67, -70) + 2.9500992/0.1636367
# -58.97165 -55.47165 -53.64165 -51.97165
summary(-Tphap$MinT)
PORTw 89
pextRemes(fit, q=rep(-58, 4), qcov=v, lower.tail=FALSE)
## End(Not run)
PORTw Annual Maximum and Minimum Temperature
Description
Annual maximum and minimum Winter temperature (degrees centigrade) with a covariate for the
North Atlantic Oscillation index from 1927 through 1995. Data is for Winter for Port Jervis, New
York (PORTw) and Spring for Sept-Iles, Quebec (SEPTsp).
Usage
data(PORTw)
Format

MTMAX a numeric vector giving the mean winter maximum temperatures (degrees centigrade).
MTMIN a numeric vector giving the mean winter minimum temperatures (degrees centigrade).
STDTMAX a numeric vector giving the standard deviations of maximum winter temperatures
(degrees centigrade).
STDMIN a numeric vector giving the standard deviations of minimum winter temperatures (de-
grees centigrade).
TMX1 a numeric vector giving the maximum winter temperature (degrees centigrade).
TMN0 a numeric vector giving the minimum winter temperature (degrees centigrade).
MDTR a numeric vector giving the mean winter diurnal temperature range (degrees centigrade).
AOindex a numeric vector giving the Atlantic Oscillation index (see Thompson and Wallace (1998)).
Details
See Wettstein and Mearns (2002) for a much more detailed explanation of the above variables.
Source
See Wettstein and Mearns (2002).
90 postmode
References
Thompson, D. W. J. and Wallace, J. M. (1998) The Arctic Oscillation signature in the wintertime
geopotential height and temperature fields. Geophys. Res. Lett., 25, 1297–1300.
Wettstein, J. J. and Mearns, L. O. (2002) The influence of the North Atlantic-Arctic Oscillation on
mean, variance and extremes of temperature in the northeastern United States and Canada. Journal
of Climate, 15, 3586–3600.
Examples
data(PORTw)
str(PORTw)
par( mfrow=c(2,1))
plot(PORTw[,"TMX1"], type="l", lwd=2, xlab="", xaxt="n", ylab="Maximum Temperature (C)")
plot(PORTw[,"TMN0"], type="l", lwd=2, xlab="", xaxt="n", ylab="Minimum Temperature (C)")
postmode Posterior Mode from an MCMC Sample
Description
Calculate the posterior mode from an MCMC sample for “fevd” objects.
Usage
postmode(x, burn.in = 499, verbose = FALSE, ...)

postmode(x, burn.in = 499, verbose = FALSE, ...)
Arguments
x An object of class “fevd” where component method = “Bayesian”.
burn.in The furst burn.in samples from the posterior distribution will be removed before
calculation.
verbose logical, should progress information be printed to the screen.
... Not used.
Details
The log-likelihood and (log) prior is calculated for every sample from the chain, and added together,
giving h. The parameters from the sample that yield the maximum value for h are returned. If more
than one set of parameters yield a maximum, their average is returned.
Value
A named numeric vector is returned giving the paramter values.
Potomac 91
Author(s)
Eric Gilleland
See Also
fevd, findpars
Examples
data(ftcanmax)
fit <- fevd(Prec, ftcanmax, method="Bayesian", iter = 1000, verbose=TRUE)
postmode(fit)
Potomac Potomac River Peak Stream Flow Data.
Description
Potomac River peak stream flow (cfs) data for water years (Oct-Sep) 1895 through 2000 at Point
Rocks, Maryland.
Usage
data(Potomac)
Format
Year a numeric vector giving the water year (Oct-Sep).

Flow a numeric vector the peak stream flow (cfs; 1 cfs = 0.028317 cubic meters per second).
Details
Potomac River peak stream flow (cfs) data for water years (Oct-Sep) 1895 through 2000 at Point
Rocks, Maryland.
These data (up to 1986) have been analyzed by Smith (1987) and this entire dataset by Katz et al.
(2002) Sec. 2.3.2.
Source
U.S. Geological Survey (http://water.usgs.gov/nwis/peak).
92 profliker
References
Smith, J. A. (1987) Regional flood frequency analysis using extreme order statistics of the annual
peak record. Water Resour Res, 23, 1657–1666.
Examples
data(Potomac)
str(Potomac)
# Fig. 3 of Katz et al. (2002) Sec. 2.3.2.
plot(Potomac[,"Year"], Potomac[,"Flow"]/1000, yaxt="n", ylim=c(0,500), type="l", lwd=1.5,
xlab="Water Year (Oct-Sept)", ylab="Annual peak flow (thousand cfs)")
axis(2,at=seq(0,500,100),labels=as.character(seq(0,500,100)))
profliker Profile Likelihood Function
Description
Find the profile likelihood for a range of values for an extreme value df (EVD).
Usage
profliker(object, type = c("return.level", "parameter"), xrange = NULL,
return.period = 100, which.par = 1, nint = 20, plot = TRUE, gr = NULL,
method = "BFGS", lower = -Inf, upper = Inf, control = list(), ...)
Arguments
object A list object of class “fevd” as returned by fevd.
type character string stating whether the parameter of interest is a regular parameter
or a return level.
xrange numeric vector of length two giving the range of values of the parameter over
which to calculate the profile likelihood.
return.period If a return level is of interest, this number gives its associated return period.
which.par If a parameter is of interest, this number tells for which component of the pa-
rameter vector to do the profile likelihood.
nint The profile likelihood is calculated for a sequence of nint values covering
xrange.
plot logical; should a plot of the likelihood be made? Note that this is controlled
by the verbose argument in the ]codeci method function for MLE fevd objects
when “proflik” is chosen as the method for finding confidence intervals. It is
usually a good idea to plot the profile likelihood to see if the confidence intervals
are really found or not.
qqnorm 93
gr, method, lower, upper, control

optional arguments to optim.
... optional arguments to plot.
Details
See the help file for ci.fevd.mle for more details on this approach.
Value
A numeric vector is returned invisibly.
Author(s)
Eric Gilleland
See Also
ci.fevd.mle, fevd
Examples
fit <- fevd(z)
fit
profliker(fit, type="parameter", which.par=3)
profliker(fit, type="parameter",
xrange=c(-0.35, -0.2), which.par=3)
qqnorm Normal qq-plot with 95 Percent Simultaneous Confidence Bands
Description
Calculates a normal qq-plot for a vector of data along with 95 percent simultaneous confidence
bands.
Usage
qqnorm(y, pch = 20, xlab = "Standard Normal Quantiles", ylab = "Sample Quantiles",
make.plot = TRUE, ...)
94 qqnorm
Arguments
y numeric vector of data.
pch plot symbol to use.
xlab Character string giving abscissa label.
ylab Character string giving ordinate axis label.
make.plot logical, should the plot be created (TRUE) or not (FALSE)?
... optional arguments to the plot function.
Details
Confidence intervals are calculated using +/- k, where
k = 0.895 / (sqrt(n) * (1- 0.01 / sqrt(n) + 0.85/n))
Gives a 95 percent asymptotic band based on the Kolmogorov-Smirnov statistic (Doksum and Siev-
ers, 1976).
Value
A data frame object is returned invisibly with components:
x,y the data and standard normal quantiles, resp.
lower,upper lower and upper 95 percent confidence bands.
Author(s)
Peter Guttorp, peter “at” stat.washington.edu, modified by Eric Gilleland
References
Doksum, K. A. and G. L. Sievers, 1976. Plotting with confidence: graphical comparisons of two
populations. Biometrika, 63 (3), 421–434.
See Also
qnorm, qqplot, shiftplot
Examples
z <- rexp(100)
qqnorm( z)
y <- rnorm( 100)

qqnorm( y)
obj <- qqnorm(y, make.plot=FALSE)
str(obj)
data( ftcanmax)
qqnorm( ftcanmax[,"Prec"])
qqplot 95
qqplot qq-plot Between Two Vectors of Data with 95 Percent Confidence

Bands
Description
QQ-plot between two data vectors with 95 percent confidence bands based on the Kolmogorov-
Smirnov statistic (Doksum and Sievers, 1976).
Usage
qqplot(x, y, pch = 20, xlab = "x Quantiles", ylab = "y Quantiles", regress = TRUE,
make.plot = TRUE, ...)
## S3 method for class 'qqplot'

plot(x, ...)
## S3 method for class 'qqplot'

Arguments
x qqplot: numeric vector of length ’m’ giving one data set.
plot method function: list object of class “qqplot” returned by qqplot.
object list object of class “qqplot” returned by qqplot.
y numeric vector of length ’n’ giving the other data set.
pch Plot character.
xlab Character string giving the label for the abscissa axis.
ylab Character string giving the label for the ordinate axis.
regress logical, should a regression line be fit to the quantiles?
make.plot logical, should the plot be created (TRUE) or not (FALSE)?
... Other optional arguments to the plot function. Not used by summary method
function.
Details
Plots the sorted (missing-values removed) ’x’ values against the sorted, and interpolated (via the
approxfun function from package stats), ’y’ values. Confidence bands are about the sorted and
interpolated ’y’ values using +/- K/sqrt(M), where
K = 1.36
and
M = m*n / (m+n).
The plot method function does exactly the same thing as qqplot except that it does not need to do
any calculations.
96 qqplot
The summary method function merely displays the original call to the function unless a regression
line was fit between the quantiles, in which case summary information is displayed for the regres-
sion (i.e., the summary method function for lm is run on the “lm” object).
Value
An object of class “qqplot” is invisibly returned by each function (in the case of the method func-
tions, the object entered is simply returned invisibly). This is a list object with components:
call calling string

names list object with components x and y giving the object names for the objects
passed into x and y, resp.
regression If regress was TRUE, then this is the fitted regression object as returned by lm.
Otherwise, this component is not included.
qdata data frame with components: x and y giving the quantiles for x and y, resp., and
lower and upper giving the lower and upper 95 percent confidence bands, resp.
Author(s)
Peter Guttorp, peter “at” stat.washington.edu
References
Doksum, K.A. and G.L. Sievers, 1976. Plotting with confidence: graphical comparisons of two
populations. Biometrika, 63 (3), 421–434.
See Also
approxfun, qqnorm, shiftplot
Examples
z <- rnorm(100)
y <- rexp(100)
qqplot( z, y)
qqplot( y, z)
data( ftcanmax)
qqplot( ftcanmax[,"Prec"], z)
obj <- qqplot( ftcanmax[,"Prec"], y, make.plot=FALSE)
plot(obj)
summary(obj)
return.level 97
return.level Return Level Estimates
Description
Return level estimates from fitted fevd model objects.
Usage
return.level(x, return.period = c(2, 20, 100), ...)

return.level(x, return.period = c(2, 20, 100), ...)

return.level(x, return.period = c(2, 20, 100), ..., do.ci = FALSE,
burn.in = 499, FUN = "mean", qcov = NULL, qcov.base =
NULL)

return.level(x, return.period = c(2, 20, 100), ...,
do.ci = FALSE)

do.ci = FALSE, qcov = NULL, qcov.base = NULL)
## S3 method for class 'ns.fevd.bayesian'

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

alpha = 0.05, method = c("normal"), do.ci = FALSE, verbose = FALSE,
qcov = NULL, qcov.base = NULL)
## S3 method for class 'return.level'

print(x, ...)
Arguments
x A list object of class “fevd” as returned by fevd. In the case of the print method
function, an object returned by return.level.
return.period numeric vector of desired return periods. For return.level.ns.fevd.mle, this
must have length one.
98 return.level
qcov.base numeric matrix analogous to qcov. When provided, the function returns the
difference in return levels between the level for the covariates in qcov and the
level for covariates in qcov.base.
do.ci logical; should CIs be returned as well?
parmaeter estimates.
FUN character string naming a function, or a function, to use to find the parameter
estimates from the MCMC sample. Default is to take the posterior mean (after
burn in).
alpha The (1 - alpha) * 100 percent confidence level for confidence intervals of return
levels in non-stationary models.
method character string naming which CI method to employ.
verbose logical, should progress information be printed to the screen?
... For the stationary case only, any optional arguments to the ci function. Not used
by the print method function.
Details
(GP). The point process characterization is an equivalent form, but is not handled here. The GEV
df is given by
return.level 99
Return levels are essentially the same as quantiles. In the case of the GEV family, they are the same.
In the case of the GP df, they are very similar, but the exceedance rate is taken into consideration.
For non-stationary modeling, effective return levels are calculated for each value of the covariate(s)
used in the model fit (see, e.g., Gilleland and Katz, 2011).
return.level.ns.fevd.mle allows one to estimate the difference in return levels for a non-
stationary model, based on subtracting the return levels for qcov.base from those for qcov, in
which case the outputted values and CIs pertain to differences in return levels.
Value
If do.ci is FALSE, an object of class “return.level” is returned, which is either a numeric vector
(stationary models) of length equal to the return.period argument giving the return levels, or a
matrix of dimension equal to either n by np or q by np where n is the length of the data used to fit the
model and np are the number of return periods, and q is the number of rows of qcov, if supplied. The
returned value also includes useful attributes describing how the return levels came to be estimated.
In particular, the list of attributes include:
return.period the return periods associated with the estimated return levels.
data.name same as the data.name component of the fevd object.
fit.call, call the original call for the fitted object and the call to this function, resp.
fit.type character string naming which type of EVD was fit to the data, and subsequently
used to estimate the return levels.
data.assumption
character string stating whether the model is stationary or non-stationary.
period character string stating what the units (period.basis from the fevd object) of the
period are.
units character string giving the data units, if available.
qcov name of the qcov matrix used to obtain the effective return levels.
qcov.base when provided as input, the name of the qcov.base matrix used to obtain the
difference in effective return levels.
If do.ci is TRUE, then an object returned by the appropriate ci function is returned (stationary case
only).
Author(s)
Eric Gilleland
100 return.level
References
Verlag, 208 pp.
Eos, 11 January, 92, (2), 13–14.
Springer, 288pp.
131.
canique 1, 141–160.
See Also
pextRemes, fevd, rlevd, ci.rl.ns.fevd.bayesian
Examples

fit <- fevd(z)
fit
return.level(fit)
fitLM <- fevd(z, method="Lmoments")

fitLM
return.level(fitLM)
## Not run:
fitB <- fevd(z, method="Bayesian", verbose=TRUE)
fitB
return.level(fitB)
## End(Not run)
revtrans.evd 101
revtrans.evd Reverse Transformation
Description
Reverse transform standardized data to follow a non-standardized extreme value distribution (EVD).
Usage
revtrans.evd(z, threshold = NULL, location = NULL, scale, shape = NULL,

type = c("GEV", "GP", "PP", "Gumbel", "Weibull", "Frechet",
"Exponential", "Beta", "Pareto"))
Arguments
z numeric vector of data of length n following a standardized EVD.

threshold number or numeric vector of length n giving the threshold, if applicable.
location number or numeric vector of length n giving the location parameter(s), if appli-
cable.
scale number or or numeric vector of length n giving the scale parameter(s).
shape number or numeric vector of length n giving the shape parameter(s), if applica-
ble.
type character string naming to what EVD should the data be reverse-transformed.
Default is GEV df.
Details
For standardized EVD data (e.g., via trans), this function performs the reverse transformation back
to the original scale.
Value
numeric vector of length n.
Author(s)
Eric Gilleland
See Also
trans, trans.fevd, fevd

102 rlevd
Examples
data(PORTw)

fit
z <- trans(fit)
fevd(z)
p <- findpars(fit)
y <- revtrans.evd(z=z, location=p$location, scale=2.6809613,

shape=-0.1812824)
fevd(y)
qqplot(y, PORTw$TMX1)
rlevd Return Levels for Extreme Value Distributions
Description
Calculate return levels for extreme value distributions (EVDs).
Usage
rlevd(period, loc = 0, scale = 1, shape = 0, threshold = 0,
type = c("GEV", "GP", "PP", "Gumbel", "Frechet", "Weibull",
"Exponential", "Beta", "Pareto"),
npy = 365.25, rate = 0.01)
Arguments
period numeric vector giving the desired return periods.
loc, scale, shape
single numbers giving the parameter values.
threshold number giving the threshold, if applicable.
type character string naming which EVD to calculate return levels from. If type is
“PP”, then it is converted to “GEV”.
npy number stating how many values per year.
rate The rate of exceedance.
rlevd 103
Details
(GP). The point process characterization is an equivalent form, but is not handled here. The GEV
df is given by
Return levels are essentially the same as quantiles. In the case of the GEV family, they are the same.
In the case of the GP df, they are very similar, but the exceedance rate is taken into consideration.
Value
named numeric vector of same length as period giving the calculated return levels for each return
period.
Note
Currently, this function does not handle the PP type. Return levels for this case can be handled
in several different ways. For example, they could be calculated from the equivalent GEV df or
equivalent GP df. In any case, one needs first to determine how to handle the frequency component.
104 Rsum
Author(s)
Eric Gilleland
References
Verlag, 208 pp.
Springer, 288pp.
131.
canique 1, 141–160.
See Also
devd, return.level
Examples
rlevd(c(2, 20, 100), loc=10, scale=2, shape=0.5)
rlevd(c(2, 20, 100), scale=2, shape=0.5, type="GP")
Rsum Hurricane Frequency Dataset.
Description
This dataset gives the number of hurricanes per year (from 1925 to 1995) as well as the ENSO state
and total monetary damage.
Usage
data(Rsum)
shiftplot 105
Format

EN a numeric vector giving the ENSO state (-1 for La Ninha, 1 for El Ninho and 0 otherwise).
Ct a numeric vector giving the number of hurricanes for the corresponding year.
TDam a numeric vector giving the total monetary damage (millions of U.S. dollars).
Details
More information on these data can be found in Pielke and Landsea (1998) or Katz (2002).
References
Katz, R. W. (2002) Stochastic modeling of hurricane damage. Journal of Applied Meteorology, 41,
754–762.
Pielke, R. A. and Landsea, C. W. (1998) Normalized hurricane damages in the United States: 1925-
95. Weather and Forecasting, 13, (3), 621–631.
Examples
data(Rsum)
str(Rsum)
plot(Rsum)
# Reproduce Fig. 1 of Katz (2002).

plot( Rsum[,"Year"], Rsum[,"TDam"]/1000, type="h", xlab="Year",
ylab="Total damage (billion U.S. dollars)",
ylim=c(0,80), lwd=2)
# Reproduce Fig. 2 of Katz (2002).

plot(Rsum[,"Year"],Rsum[,"Ct"],type="h", xlab="Year",
ylab="Number of Hurricanes", ylim=c(0,5), lwd=2)
shiftplot Shift Plot Between Two Sets of Data
Description
A shift plot is a plot of the quantiles of a data set y minus those of another data set x against those
of x. Includes 95 percent simultaneous confidence bands.
Usage
shiftplot(x, y, pch = 20, xlab = "x Quantiles", ylab = "y Quantiles", main = NULL, ...)
106 shiftplot
Arguments
x numeric vector of length m.

y numeric vector of length n.
pch Plotting character.
xlab Character string giving abscissa axis label.
ylab Character string giving ordinate axis label.
main Character string giving plot title.
... Other optional arguments to plot function.
Details
The shift plot is a graph of y_q - x_q vs. x_q, where y_q and x_q denote the quantiles of x and
y, resp. 95 percent simultaneous confidence bands are calculated per Doksum and Sievers (1976).
The primary usage of this plot is where x is a control group and y is an experimental method; or
something similar. For example, x might represent observations, and y might represent climate
model output; or some such.
Value
No value is returned, but a plot is created.
Author(s)
Peter Guttorp
References
Doksum, K. A. and Sievers, G. L. (1976) Plotting with confidence: graphical comparisons of two
populations. Biometrika, 63, (3), 421–434.
See Also
qqplot, qqnorm, approxfun
Examples
z <- rnorm( 100)
y <- rexp(30)
shiftplot( z, y)
data( ftcanmax)
shiftplot( y, ftcanmax[,"Prec"])
strip 107
strip Strip Fitted EVD Object of Everything but the Parameter Estimates
Description
Take any fevd object, regardless of estimation method, and return only a vector of the estimated
parameters.
Usage
strip(x, use.names = TRUE, ...)
strip(x, use.names = TRUE, ...)
Arguments
x An object of class “fevd”.
use.names logical stating whether or not to keep the names attribute
... For the Bayesian method, if an alternative function to taking the mean or pos-
terior mode of the MCMC samples is used, then optional arguments may be
passed. Otherwise, not used.
Details
This function is very similar to distill, but returns less information.
Value
numeric vector with the parameter estimates.
Author(s)
Eric Gilleland
See Also
distill.fevd
Examples

fit <- fevd(z)
fit
strip( fit )
strip( fit, use.names = FALSE )
108 taildep
# Compare with ...

distill( fit )
distill( fit, cov = FALSE )
## Not run:
data( "Fort" )
fit <- fevd(Prec, Fort, threshold=0.395,
scale.fun=~sin(2 * pi * (year - 1900)/365.25) +
cos(2 * pi * (year - 1900)/365.25),
type="PP", method="Bayesian", iter=1999, use.phi=TRUE, verbose=TRUE)
fit
strip( fit )
strip( fit, burn.in = 700 )
strip( fit, FUN = "postmode" )
## End(Not run)
taildep Tail Dependence
Description
Function to calculate the estimated tail dependence parameters chi and chibar.
Usage
taildep(x, y, u, type = c("all", "chi", "chibar"), na.rm = FALSE)
Arguments
x,y numeric vectors of same length. x may be a two-column matrix or data frame,
in which case each column is assumed to be the two vectors of interest (both
dependence estimates are symmetric so that it does not matter which is which).
u single numeric between 0 and 1 (non-inclusive) giving the probability threshold
overwhich to compute the dependence measures (should be close to 1, but low
enough to include enough data.
type character string determining which dependence parameter to estimate (chi or
chibar). Default estimates both.
na.rm logical, should missing values be removed?
taildep 109
Details
The tail dependence parameters are those described in, e.g., Reiss and Thomas (2007) Eq (2.60) for
"chi" and Eq (13.25) "chibar", and estimated by Eq (2.62) and Eq (13.28), resp. See also, Sibuya
(1960) and Coles (2001) sec. 8.4, as well as other texts on EVT such as Beirlant et al. (2004) sec.
9.4.1 and 10.3.4 and de Haan and Ferreira (2006).
Specifically, for two series X and Y with associated df’s F and G, chi, a function of u, is defined as
chi(u) = Pr[Y > G^(-1)(u) | X > F^(-1)(u)] = Pr[V > u | U > u],
where (U,V) = (F(X),G(Y))–i.e., the copula. Define chi = limit as u goes to 1 of chi(u).
The coefficient of tail dependence, chibar(u) was introduced by Coles et al. (1999), and is given by
chibar(u) = 2*log(Pr[U > u])/log(Pr[U > u, V > u]) - 1.
Define chibar = limit as u goes to 1 of chibar(u).
The associated estimators for the tail dependence parameters employed by these functions are based
on the above two coefficients of tail dependence, and are given by Reiss and Thomas (2007) Eq
(2.62) and (13.25) as
chi.hat(x, y; u) = sum(x_i > sort(x)[floor(n*u)] and y_i > sort(y)[floor(n*u)])/(n*(1-u)) [based on
chi]
and
chibar.hat(x, y; u) = 2*log(1 - u)/log(mean(x_i > sort(x)[floor(n*u)] and y_i > sort(y)[floor(n*u)]))
- 1.
Some properties of the above dependence coefficients, chi(u), chi, and chibar(u) and chibar, are that
0 <= chi(u), chi <= 1, where if X and Y are stochastically independent, then chi(u) = 1 - u, and
chibar = 0. If X = Y (perfectly dependent), then chi(u) = chi = 1. For chibar(u) and chibar, we
have that -1 <= chibar(u), chibar <= 1. If U = V, then chibar = 1. If chi = 0, then chibar < 1 (tail
independence with chibar determining the degree of dependence).
Value
numeric vector of length 1 or 2 depending on the type argument giving the estimated tail dependence
parameters.
Author(s)
Eric Gilleland
References
Coles, S. (2001) An introduction to statistical modeling of extreme values, London: Springer-Verlag.
Coles, S., Heffernan, J. E., and Tawn, J. A. (1999) Dependence measures for extreme value analyses.
Extremes, 2, 339–365.
Springer, 288pp.
110 taildep.test
Sibuya, M. (1960) Bivariate extreme statistics. Ann. Inst. Math. Statist., 11, 195–210.
See Also
atdf, taildep.test
Examples
##
## Example where a r.v. is completely dependent in
## terms of the variables, but completely tail
## independent (see Reiss and Thomas p. 75).
z <- runif(100, -1, 0)
w <- -1*(1 + z)
taildep(z,w,u=0.8)
## Not run:
data(FCwx)
taildep(FCwx$MxT, FCwx$MnT, 0.8)
taildep(FCwx$MxT, FCwx$Prec, 0.8)
## End(Not run)
taildep.test Tail Dependence Test
Description
Testing tail dependence against tail independence.
Usage
taildep.test(x, y, cthresh = -0.5, trans = "relative.rank", na.action = na.fail, ...)
relative.rank(x, div = "n", ...)
Arguments
x,y numeric vectors of same length. For taildep.test, x may be a two-column
matrix or data frame, in which case each column is assumed to be the two vectors
of interest.
cthresh single numeric between -1 and 0 (non-inclusive) over which the transformed and
shifted x + y variable is tested (see Details).
trans character string naming a function to transform the x and y variables so that they
are in the lower left quadrant (see Details). If variables are already transformed
as such (or it is not necessary), then use “identity”.
taildep.test 111
div character one of “n” or “n+1” stating whether to divide the ranks by n or n + 1
so that the reslting transformations are in [0,1] or (0,1), resp.
... optional arguments to the trans function. In the case of relative.rank these
are optional arguments to the function rank.
Details
This is the tail dependence test described in Reiss and Thomas (2007) section 13.3. It is, unusually,
a test whose null hypothesis is that the two random variables, X and Y, are dependent. So, for
example, if a significance level alpha = 0.01 test is desired, then the null huypothesis (dependence)
is rejected for values of the statistic with p-values less than 0.01.
To do the test, the variables must first be transformed to the left lower quadrant. Following Reiss and
Thomas (2007), the default is to transform the data by means of the sample distribution functions
(df’s), u = Fhat_n(x) and v = Fhat_n(y) (i.e., using the function relative.rank). This yields
random variables between 0 and 1, and subsequently they are shifted to be between -1 and 0 (this is
done by taildep.test so should not be done by the trans function).
Ultimately, the test statistic is given by
-(sum(log(c.tilde) + m)/sqrt(m)),
where c.tilde = (u + v)*1(u+v > c)/c, for c a threshold (i.e., cthresh). The statistic is assumed to be
N(0,1), and the p-value is calculated accordingly.
The test is somewhat sensitive to the choice of threshold, cthresh, and it is probably a good idea
to try several values (approaching zero from the left). Ideally, the threshold should yield about 10 -
15 percent excesses.
Value
call the calling string
data.name character vector giving the names of the data sets employed (if x is a matrix,
then the second component will be “ ”.
method character string, which will always be “Reiss-Thomas (13.35)”.
transformation same as trans argument.
parameter named vector giving the value of the threshold and any arguments passed to the
trans function (perhaps this is not a good idea, and may be changed eventually).
c.full value of the vector u + v after having been transformed and shifted to be between
-1 and 0. This is so that the user can adjust the threshold so that 10 - 15 percent
of the values exceed it.
statistic numeric giving the value of the test statistic.
alternative character string stating “greater”.
p.value numeric between 0 and 1 giving the p-value for the test.
Author(s)
Eric Gilleland
112 threshrange.plot
References
See Also
taildep, atdf, lr.test
Examples
x <- arima.sim(n = 63, list(ar = c(0.8897, -0.4858), ma = c(-0.2279, 0.2488)),
sd = sqrt(0.1796))
y <- x + rnorm(63)
taildep.test(x, y)
# Recall that null hypothesis is tail dependence!
## Not run:
data(PORTw)
taildep.test(PORTw$TMX1, PORTw$TMN0, cthresh=-0.3)
data(FCwx)
taildep.test(FCwx$MxT, FCwx$Prec, cthresh=-0.4)
# Run the example (13.3.6) in Reiss and Thomas (2007)

# using the 'wavesurge' dataset from package 'ismev'.
data(wavesurge)
cth <- seq(-0.46,-0.35,0.01)
tab13.1 <- matrix(NA, 2, 12)
colnames(tab13.1) <- as.character(cth)
for(i in 1:12) {
tmp <- taildep.test(wavesurge, cthresh=cth[i], ties.method="max")
tab13.1[1,i] <- tmp$parameter["m"]
tab13.1[2,i] <- tmp$p.value
} # end of for 'i' loop.
rownames(tab13.1) <- c("m", "p-value")

tab13.1
## End(Not run)
threshrange.plot Threshold Selection Through Fitting Models to a Range of Thresholds

threshrange.plot 113
Description
Find an appropriate threshold for GP or PP models by fitting them to a sequence of thresholds in
order to find the lowest threshold that yields roughly the same parameter estiamtes as any higher
threshold.
Usage
threshrange.plot(x, r, type = c("GP", "PP", "Exponential"), nint = 10, alpha = 0.05,
na.action = na.fail, set.panels = TRUE, verbose = FALSE, ...)
Arguments
x numeric vector of data.
r numeric vector of length two giving the range of thresholds.
type character string stating which model to fit.
nint number of thresholds to use.
alpha number between zero and one stating which 1 - alpha confidence level to use
for the confidence limits.
set.panels logical; should the function set the panels on the device (TRUE) or not (FALSE).
verbose logical; should progress information be printed to the screen?
... optional arguments to fevd.
Details
Several GP or PP (or exponential) models are fit to x according to a range of nint thresholds given
by r. The estimated parameters are plotted against these thresholds along with their associated (1 -
alpha) * 100 percent CIs.
Choice of threshold is a compromise between low variance (lower thresholds yield more data with
which to fit the models) and bias (higher thresholds yield estimates that are less biased because
model assumptions require very high thresholds, and it can happen that lower data values may be
more abundant causing the model to be biased toward the wrong values) in the parameter estimates.
An appropriate threshold should yield the same parameter estimates (within uncertainty) as would
be fit for any model fit to higher thresholds. Therefore, the idea is to find the lowest possible
threshold whereby a higher threshold would give the same results within uncertainty bounds.
See Coles (2001) sec. 4.3.4 and 4.4 for more information.
Note that the default uses maximum likelihood estimation. While it is possible to use other methods,
it is not recommended because of efficiency problems.
Value
A matrix of parameter values and CI bounds for each threshold value is returned invisibly. A plot
is created.
114 Tphap
Author(s)
Eric Gilleland
References
Coles, S. (2001). An introduction to statistical modeling of extreme values, London, United King-
dom: Springer-Verlag, 208 pp.
See Also
fevd, mrlplot
Examples
data(Fort)
threshrange.plot(Fort$Prec, r = c(1, 2.25), nint=5)
## Not run:
threshrange.plot(Fort$Prec, r=c(0.01,1), nint=30, verbose=TRUE)
threshrange.plot(Fort$Prec, r=c(0.2,0.8), type="PP", nint=15,

verbose=TRUE)
threshrange.plot(Fort$Prec, r=c(0.2,0.8), type="PP", nint=15,

optim.args=list(method="Nelder-Mead"), verbose=TRUE)
## End(Not run)
Tphap Daily Maximum and Minimum Temperature in Phoenix, Arizona.
Description
Daily maximum and minimum temperature (degrees Fahrenheit) for July through August 1948
through 1990 at Sky Harbor airport in Phoenix, Arizona.
Usage
data(Tphap)
Format
Year a numeric vector giving the number of years since 1900.
Month a numeric vector giving the month.
MaxT a numeric vector giving the daily maximum temperatures in degrees Fahrenheit.
MinT a numeric vector giving the daily minimum temperatures in degrees Fahrenheit.
trans 115
Details
Data are daily maximum and minimum temperature for the summer months of July through August
from 1948 through 1990.
Source
U.S. National Weather Service Forecast office at the Phoenix Sky Harbor Airport.
References
Balling, R. C., Jr., Skindlov, J. A. and Phillips, D. H. (1990) The impact of increasing summer
mean temperatures on extreme maximum and minimum temperatures in Phoenix, Arizona. Journal
of Climate, 3, 1491–1494.
Tarleton, L. F. and Katz, R. W. (1995) Statistical explanation for trends in extreme summer temper-
atures at Phoenix, A.Z. Journal of Climate, 8, (6), 1704–1708.
Examples
data(Tphap)
str(Tphap)
par( mfrow=c(2,1))
hist( Tphap[,"MaxT"], main="", xlab="Max Temp", xlim=c(60,120), freq=FALSE, breaks="FD", col="red")
hist( Tphap[,"MinT"], main="", xlab="Min Temp", xlim=c(60,120), freq=FALSE, breaks="FD", col="blue")
trans Transform Data
Description
Method function to transform a data set. In the case of fevd objects, the transformation is to a
standardized Gumbel or exponential scale.
Usage
trans(object, ...)

trans(object, ..., burn.in = 499, return.all = FALSE)
Arguments
object An R object with a trans method. In the case of “fevd” objects, output from
fevd.
parmaeter estiamtes.
return.all logical, only for POT models, but primarily for use with the Point Process model.
Should only the threshold exceedances be returned?
... Not used.
116 trans
Details
Many important situations occur in extreme value analysis (EVA) where it is useful or necessary to
transform data to a standardized scale. For example, when investigating multivariate or conditional
EVA much of the theory revolves around first transfroming the data to a unit scale. Further, for
non-stationary models, it can be useful to transform the data to a df that does not depend on the
covariates.
The present function transforms data taken from “fevd” class objects and transforms them to either
a standard Gumbel (GEV, Gumbel case) or standard exponential (GP, PP, exponential case) df.
In the first case, if the data are Gumbel distributed (really, if a gumbel fit was performed) the
transformation is:
z = (x - location(yi))/scale(yi),
where yi represent possible covariate terms and z is distributed according to a Gumbel(0, 1) df. If
the data are GEV distributed, then the transformation is:
z = - log(1 + (shape(yi)/scale(yi) * (x - location(yi)))^(-1/shape(yi))),
and again z is distributed Gumbel(0, 1).
In the case of exponentially distributed data, the transformation is:
z = (x - threshold(yi))/scale(yi)
and z is distributed according to an exponential(1) df.
For GP distributed data, the transformation is:
z = -log((1 + (shape(yi)/scale(yi) * (x - threshold(yi))))^(-1/shape(yi))
where again z follows an exponential(1) df.
For PP models, the transformation is:
z = (1 + shape(yi)/scale(yi) * (x - threshold(yi)))^(-1/shape(yi))
and z is distributed exponential(1).
See Coles (2001) sec. 2.3.2 for more details.
Value
numeric vector of transformed data.
Author(s)
Eric Gilleland
References
Verlag, 208 pp.
See Also
revtrans.evd, fevd
trans 117
Examples
data(PORTw)

fit
z <- trans(fit)
fevd(z)
Index
∗Topic array trans, 115

make.qcov, 78 ∗Topic hplot
parcov.fevd, 82 atdf, 8
∗Topic attribute fevd, 39
strip, 107 mrlplot, 79
∗Topic datagen profliker, 92
devd, 28 qqnorm, 93
pextRemes, 84 qqplot, 95
∗Topic datasets shiftplot, 105
CarcasonneHeat, 13 threshrange.plot, 112
damage, 20 ∗Topic htest
Denmint, 27 BayesFactor, 10
Denversp, 27 ci.fevd, 15
FCwx, 38 ci.rl.ns.fevd.bayesian, 19
Flood, 62 fpois, 64
Fort, 63 lr.test, 76
ftcanmax, 66 mrlplot, 79
HEAT, 67 taildep.test, 110
Ozone4H, 81 threshrange.plot, 112
Peak, 83 ∗Topic list
PORTw, 89 findpars, 60
Potomac, 91 ∗Topic logic
Rsum, 104 is.fixedfevd, 73
Tphap, 114 ∗Topic manip
∗Topic data blockmaxxer, 12
datagrabber.declustered, 21 datagrabber.declustered, 21
decluster, 23 decluster, 23
∗Topic distribution distill.fevd, 32
ci.fevd, 15 fevd, 39
devd, 28 findAllMCMCpars, 59
erlevd, 34 findpars, 60
fevd, 39 revtrans.evd, 101
levd, 74 strip, 107
parcov.fevd, 82 trans, 115
pextRemes, 84 ∗Topic methods
profliker, 92 findpars, 60
return.level, 97 hwmi, 68
revtrans.evd, 101 hwmid, 70
rlevd, 102 pextRemes, 84
118
INDEX 119
postmode, 90 ci.fevd.mle, 93
return.level, 97 ci.rl.ns.fevd.bayesian, 18, 19, 51, 100
trans, 115 ci.rl.ns.fevd.mle, 51
∗Topic misc ci.rl.ns.fevd.mle
is.fixedfevd, 73 (ci.rl.ns.fevd.bayesian), 19
make.qcov, 78
∗Topic models damage, 20
abba, 5 datagrabber, 22, 25, 51
erlevd, 34 datagrabber.declustered, 21
fevd, 39 datagrabber.extremalindex
levd, 74 (datagrabber.declustered), 21
pextRemes, 84 datagrabber.fevd
threshrange.plot, 112 (datagrabber.declustered), 21
∗Topic multivariate decluster, 22, 23, 37, 50
taildep, 108 Denmint, 27
taildep.test, 110 density, 51
∗Topic optimize Denversp, 27
fevd, 39 devd, 28, 50, 104
parcov.fevd, 82 distill, 33, 51, 62
postmode, 90 distill.fevd, 32, 107
∗Topic package
extRemes-package, 3 erlevd, 34, 51, 79
∗Topic print extremalindex, 22, 25, 36, 50
fevd, 39 extRemes (extRemes-package), 3
∗Topic ts extRemes-package, 3
atdf, 8 FCwx, 38
fevd, 39 fevd, 11, 13, 18, 20, 22, 25, 31, 33, 35, 37, 39,
∗Topic univar 60, 62, 73, 76, 78, 79, 83, 87, 91, 93,
atdf, 8 100, 101, 114, 116
extremalindex, 36 findAllMCMCpars, 59
fevd, 39 findpars, 51, 60, 60, 91
fpois, 64 Flood, 62
formula, 50
abba, 5
Fort, 63
abba_latent (abba), 5
fpois, 64
acf, 10
ftcanmax, 66
aggregate, 13
approxfun, 96, 106 get, 22
atdf, 8, 50, 110, 112 glm, 65
BayesFactor, 10 HEAT, 67
blockmaxxer, 12 hist, 51
hwmi, 68
CarcasonneHeat, 13 hwmid, 70
check.constant, 51
check.constant (is.fixedfevd), 73 is.fixedfevd, 51, 73
ci, 18, 51 is.qcov (make.qcov), 78
ci.extremalindex (extremalindex), 36
ci.fevd, 15, 20, 33, 50 levd, 74
120 INDEX
lr.test, 51, 76, 112 SEPTsp (PORTw), 89

shiftplot, 94, 96, 105
make.qcov, 20, 78, 87 strip, 107
max, 13 summary.fevd, 83
mrlplot, 50, 79, 114 summary.fevd (fevd), 39
summary.qqplot (qqplot), 95
optim, 51
optimHess, 51 taildep, 10, 108, 112
Ozone4H, 81 taildep.test, 10, 78, 110, 110
threshrange.plot, 50, 80, 112
pacf, 10 Tphap, 114
parcov.fevd, 51, 62, 82 trans, 101, 115
Peak, 83 trans.fevd, 101
pevd, 50, 87
pevd (devd), 28
pextRemes, 35, 50, 79, 84, 100
plot.atdf (atdf), 8
plot.declustered (decluster), 23
plot.fevd, 35
plot.fevd (fevd), 39
plot.qqplot (qqplot), 95
PORTw, 89
postmode, 60, 90
Potomac, 91
ppoints, 51
print.declustered (decluster), 23
print.extremalindex (extremalindex), 36
print.fevd, 83
print.fevd (fevd), 39
print.return.level (return.level), 97
profliker, 51, 76, 92
qevd, 50
qevd (devd), 28
qnorm, 94
qqnorm, 93, 96, 106
qqplot, 51, 94, 95, 106
rbeta, 6, 7
relative.rank (taildep.test), 110
return.level, 20, 51, 97, 104
revd, 50, 87
revd (devd), 28
revtrans.evd, 101, 116
rextRemes, 35, 50
rextRemes (pextRemes), 84
rlevd, 35, 100, 102
rnorm, 6, 7
Rsum, 104

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Package ‘extRemes’

June 11, 2018

extRemes-package extRemes – Weather and Climate Applications of Extreme Value Anal-

Flood – R source version of the above mentioned ’Flood.dat’ dataset.

abba Implementation of Stephenson-Shaby-Reich-Sullivan

atdf Auto-Tail Dependence Function

## S3 method for class 'atdf'

y <- cbind(z[2:63], z[1:62])

BayesFactor Estimate Bayes Factor

BayesFactor(m1, m2, burn.in = 499, FUN = "postmode",

m1, m2 objects of class “fevd” giving the two models to be compared.

A list object of class “htest” is returned with components:

statistic The estimated Bayes factor.

BayesFactor(fB, fB2, burn.in = 100, method = "harmonic")

blockmaxxer Find Block Maxima

## S3 method for class 'data.frame'

## S3 method for class 'fevd'

## S3 method for class 'matrix'

## S3 method for class 'vector'

bmFort <- blockmaxxer(Fort, blocks = Fort$year, which="Prec")

plot(Fort$year, Fort$Prec, xlab = "Year", ylab = "Precipitation (inches)",

points(bmFort$year, bmFort$Prec, col="darkred", cex=1.5)

CarcasonneHeat European Climate Assessment and Dataset

Simone Russo <[email protected]>

We acknowledge the data providers in the ECA&D project.

ci.fevd Confidence Intervals

## S3 method for class 'fevd.bayesian'

## S3 method for class 'fevd.lmoments'

## S3 method for class 'fevd.mle'

fit <- fevd(Prec, Fort, threshold = 2, type = "GP",

ci(fit, type = "parameter")

ci(fit, method = "boot")

## S3 method for class 'rl.ns.fevd.mle'

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

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

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

damage Hurricane Damage Data

A data frame with 144 observations on the following 3 variables.

obs a numeric vector that simply gives the line numbers.

# Fig. 3 of Katz (2002).

# Fig. 4 of Katz (2002).

## S3 method for class 'extremalindex'

## S3 method for class 'fevd'

ydc <- decluster(y, quantile(y, probs=c(0.95)), r=1, blocks=bl)

yorig <- datagrabber(ydc)

decluster Decluster Data Above a Threshold

Decluster data above a given threshold to try to make them independent.

decluster(x, threshold, ...)

## S3 method for class 'data.frame'

## S3 method for class 'intervals'

## S3 method for class 'runs'

## S3 method for class 'declustered'

## S3 method for class 'declustered'

x An R data set to be declustered. Can be a data frame or a numeric vector. If a

call the function call.

data.name character string giving the name of the data.

ydc <- decluster(y, quantile(y, probs=c(0.75)), r=1, groups=bl)

# The code cannot currently grab data of the type of above.