Fits the two-parameter Gumbel distribution to an xts
series by the method of L-moments. Parameters are obtained in closed
form via pelgum, which matches the sample
L-moment ratios to the theoretical L-moment ratios of the Gumbel
distribution. Zero values below zero_threshold may be excluded
via ignore_zeros. Goodness-of-fit is assessed via
GOF_tests, and theoretical L-moments are computed from the
fitted parameters for comparison with the sample.
Usage
fitlm_gumbel(x, ignore_zeros = FALSE, zero_threshold = 0.01)
Arguments
- x
An xts object containing the time series data.
- ignore_zeros
Logical. If TRUE, values below
zero_threshold are excluded. Default FALSE.
- zero_threshold
Numeric. Threshold below which values are treated
as zero. Default 0.01.
Value
A list with elements Distribution, Param (named
list of fitted parameters), TheorLMom (theoretical L-moments),
DataLMom (sample L-moments), and GoF (goodness-of-fit
metrics).
Examples
x <- xts::xts(rgumbel(365, location = 1, scale = 3),
order.by = as.Date("2020-01-01") + 0:364)
fit <- fitlm_gumbel(x)
fit$Param
#> $location
#> [1] 0.9832601
#>
#> $scale
#> [1] 2.756431
#>
