Dear All-
I am looking at the bivariate point process model for extreme values as
described in Section 8.3.2 of Coles book. I am stuck at a very low
level in being unable to reproduce the initial step of transforming the
data to unit Frechet margins. In particular, I am unable to
reproduce the wave-surge pairs distribution after transformation to
Frechet scale (Figure 8.6 of Coles book). Here is what I am doing:
library(ismev)
data(wavesurge)
wave <- wavesurge[,1]
surge <- wavesurge[,2]
plot(wave,surge, pch=20) ## reproduces Coles fig 1.11
## do the GEV fit
w <- gev.fit(wave)
s <- gev.fit(surge)
### Transform to frechet variable using
GEV2frechet <- function (x, loc, scale, shape)
pmax(1 + shape * (x - loc)/scale, 0)^(1/shape)
Zw <- GEV2frechet(wave,w$mle[1],w$mle[2],w$mle[3])
Zs <- GEV2frechet(surge,s$mle[1],s$mle[2],s$mle[3])
## Check point distribution with Figure 8.6
plot(log(Zw),log(Zs),pch=20)
### Very different
The above seems to be quite straightforward and I am at a loss for what
is going wrong. Perhaps someone can get me pointed in the right
direction. Thanks in advance for your consideration and help.
Regards
Ron Burns
--
R. R. Burns
Physicist (Retired)
Oceanside, CA
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