GPD parameter vector reparametrization

Usage

GPD_change_parametrization(
  parameters,
  threshold = 0,
  threshold_lvl = 0,
  parametrization = c("classical", "orthogonal", "quantile", "endpoint"),
  new_parametrization = c("classical", "orthogonal", "quantile", "endpoint"),
  quantile_lvl = 1 - (1/100),
  nbsca = 1,
  nbsha = 1
)

Arguments

parameters: Vector of GPD parameters in the internal format.
threshold: GPD threshold value.
threshold_lvl: Probability level of the threshold threshold.
parametrization: Current parametrization of parameters.
new_parametrization: Desired new parametrization.
quantile_lvl: Quantile probability level for the 'quantile' parameter.
nbsca: Number of scale parameter coefficients (i.e. one plus the number of scale parameter covariates).
nbsha: Number of shape parameter coefficients (i.e. one plus the number of shape parameter covariates).

Value

The vector of GPD parameters reparametrized from parametrization to new_parametrization.