Compute extreme quantile from GPD parameters
Usage
GPD_quantiles(quantile_lvl, threshold_lvl, threshold, scale, shape)
Arguments
- quantile_lvl
Probability level of the desired extreme quantile.
- threshold_lvl
Probability level of the GPD threshold.
- threshold
GPD threshold value.
- scale
Value(s) for the GPD scale parameter.
- shape
Value(s) for the GPD shape parameter.
Value
The quantile value at probability level quantile_lvl.
Examples
GPD_quantiles(quantile_lvl=0.999, threshold_lvl=0.95, threshold=0, scale=1, shape=0.1)
#> [1] 4.787576