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Compute extreme quantile from GPD parameters

Source: R/EVT_utils.R
GPD_quantiles.Rd

Compute extreme quantile from GPD parameters

Usage

GPD_quantiles(p, p0, t_x0, sigma, xi)

Arguments

p

Probability level of the desired extreme quantile.

p0

Probability level of the (possibly varying) intermediate threshold/quantile.

t_x0

Value(s) of the (possibly varying) intermediate threshold/quantile.

sigma

Value(s) for the GPD scale parameter.

xi

Value(s) for the GPD shape parameter.

Value

The quantile value at probability level p.