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Commit 9d84b444 authored by Felix Fauer's avatar Felix Fauer
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finished adding eta2 to all functions. some minor checks are still missing.... 

finished adding eta2 to all functions. some minor checks are still missing. also readme shows bad diagnosis plots (worse than with only tau)
parent 4c34d9cc
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Showing with 158 additions and 96 deletions
NAMESPACE
View file @ 9d84b444
......@@ -2,7 +2,6 @@
export(IDF.agg)
export(IDF.plot)
export(IDF.plot.fit)
export(dgev.d)
export(gev.d.diag)
export(gev.d.fit)
......
R/IDF.R
View file @ 9d84b444
......@@ -222,12 +222,11 @@ NULL
IDF.plot <- function(durations,fitparams,probs=c(0.5,0.9,0.99),
cols=4:2,add=FALSE,
legend=TRUE,...){
# if cols is to short, make longer
# if cols is too short, make longer
if(length(cols)!=length(probs))cols <- rep_len(cols,length.out=length(probs))
## calculate IDF values for given probability and durations
qs <- lapply(durations,qgev.d,p=probs,mut=fitparams[1],sigma0=fitparams[2],xi=fitparams[3],
theta=fitparams[4],eta=fitparams[5], tau=fitparams[6])
theta=fitparams[4],eta=fitparams[5], eta2=fitparams[6], tau=fitparams[7])
idf.array <- matrix(unlist(qs),length(probs),length(durations)) # array[probs,durs]
if(!add){ #new plot
## initialize plot window
......
R/d-gev.R
View file @ 9d84b444
......@@ -10,6 +10,7 @@
#' shape parameter \eqn{\xi}.
#' @param theta numeric value, giving duration offset \eqn{\theta} (defining curvature of the IDF curve)
#' @param eta numeric value, giving duration exponent \eqn{\eta} (defining slope of the IDF curve)
#' @param eta2 numeric value, giving a second duration exponent (needed for multiscaling). If multiscaling is not requested, \eqn{eta2=eta} should be used.
#' @param tau numeric value, giving intensity offset \eqn{\tau} (defining flattening of the IDF curve)
#' @param d positive numeric value, giving duration
#' @param ... additional parameters passed to \code{\link[evd]{dgev}}
......@@ -38,8 +39,9 @@
#' lines(x,dens[[i]],lty=i)
#' }
#' legend('topright',title = 'Duration',legend = 1:4,lty=1:4)
dgev.d <- function(q,mut,sigma0,xi,theta,eta,d,tau=0,...) {
if(any(c(length(mut),length(sigma0),length(xi),length(theta),length(eta), length(tau))>1)){
dgev.d <- function(q,mut,sigma0,xi,theta,eta,d,eta2=NULL,tau=0,...) {
if(is.null(eta2)){eta2=eta}
if(any(c(length(mut),length(sigma0),length(xi),length(theta),length(eta),length(eta2),length(tau))>1)){
message('One of the parameters mut, sigma0, xi, theta, eta, tau is a vector. ',
'This is not intended and might cause an error.')}
if (d<=0) {stop('The duration d has to be positive.')}
......@@ -48,8 +50,12 @@ dgev.d <- function(q,mut,sigma0,xi,theta,eta,d,tau=0,...) {
,theta, ' this will prododuce NAs.')}
# if denominator is negative NAs will be returned
if(d+theta<=0){return(rep(NA,length(q)))}else{
sigma.d <-sigma0/(d+theta)^eta+ tau
return(dgev(q,loc=mut*sigma.d,scale=sigma.d,shape=xi,...))}
#sigma.d <-sigma0/(d+theta)^eta+ tau # old
sigma.d <- sigma0/(d+theta)^eta2 +tau
mu.d <- mut*(sigma0/(d+theta)^eta +tau)
return(dgev(q,loc=mu.d,scale=sigma.d,shape=xi,...))}
}
......@@ -62,6 +68,7 @@ dgev.d <- function(q,mut,sigma0,xi,theta,eta,d,tau=0,...) {
#' @param mut,sigma0,xi numeric value, giving modified location, modified scale and shape parameter
#' @param theta numeric value, giving duration offset (defining curvature of the IDF curve)
#' @param eta numeric value, giving duration exponent (defining slope of the IDF curve)
#' @param eta2 numeric value, giving a second duration exponent (needed for multiscaling). If multiscaling is not requested, \eqn{eta2=eta} should be used.
#' @param tau numeric value, giving intensity offset (defining flattening of the IDF curve)
#' @param d positive numeric value, giving duration
#' @param ... additional parameters passed to \code{\link[evd]{pgev}}
......@@ -85,8 +92,9 @@ dgev.d <- function(q,mut,sigma0,xi,theta,eta,d,tau=0,...) {
#' @examples
#' x <- seq(4,20,0.1)
#' prob <- pgev.d(q=x,mut=4,sigma0=2,xi=0,theta=0.1,eta=0.1,d=1)
pgev.d <- function(q,mut,sigma0,xi,theta,eta,tau=0,d, ...) {
if(any(c(length(mut),length(sigma0),length(xi),length(theta),length(eta),length(tau))>1)){
pgev.d <- function(q,mut,sigma0,xi,theta,eta,d,tau=0,eta2=NULL, ...) {
if(is.null(eta2)){eta2=eta}
if(any(c(length(mut),length(sigma0),length(xi),length(theta),length(eta),length(eta2),length(tau))>1)){
message('One of the parameters mut, sigma0, xi, theta, eta, tau is a vector. ',
'This is not intended and might cause an error.')}
if (d<=0) {stop('The duration d has to be positive.')}
......@@ -95,8 +103,12 @@ pgev.d <- function(q,mut,sigma0,xi,theta,eta,tau=0,d, ...) {
,theta, ' this will prododuce NAs.')}
# if denominator is negative NAs will be returned
if(d+theta<=0){return(rep(NA,length(q)))}else{
sigma.d <-sigma0/(d+theta)^eta+tau
return(pgev(q,loc=mut*sigma.d,scale=sigma.d,shape=xi,...))}
#sigma.d <-sigma0/(d+theta)^eta+tau # old
sigma.d <- sigma0/(d+theta)^eta2 +tau
mu.d <- mut*(sigma0/(d+theta)^eta +tau)
return(pgev(q,loc=mu.d,scale=sigma.d,shape=xi,...))}
}
......@@ -109,6 +121,7 @@ pgev.d <- function(q,mut,sigma0,xi,theta,eta,tau=0,d, ...) {
#' @param mut,sigma0,xi numeric value, giving modified location, modified scale and shape parameter
#' @param theta numeric value, giving duration offset (defining curvature of the IDF curve for short durations)
#' @param eta numeric value, giving duration exponent (defining slope of the IDF curve)
#' @param eta2 numeric value, giving a second duration exponent (needed for multiscaling). If multiscaling is not requested, \eqn{eta2=eta} should be used.
#' @param tau numeric value, giving intensity offset (defining flattening of the IDF curve for long durations)
#' @param d positive numeric value, giving duration
#' @param ... additional parameters passed to \code{\link[evd]{qgev}}
......@@ -145,9 +158,10 @@ pgev.d <- function(q,mut,sigma0,xi,theta,eta,tau=0,d, ...) {
#' }
#' legend('topright',title = 'p-quantile',
#' legend = p,lty=1:3,bty = 'n')
qgev.d <- function(p,mut,sigma0,xi,theta,eta,d,tau=0, ...) {
if(any(c(length(mut),length(sigma0),length(xi),length(theta),length(eta), length(tau))>1)){
message('One of the parameters mut, sigma0, xi, theta, eta is a vector. ',
qgev.d <- function(p,mut,sigma0,xi,theta,eta,d,tau=0,eta2=NULL, ...) {
if (is.null(eta2)){eta2=eta}
if(any(c(length(mut),length(sigma0),length(xi),length(theta),length(eta), length(eta2), length(tau))>1)){
message('One of the parameters mut, sigma0, xi, theta, eta, eta2, tau is a vector. ',
'This is not intended and might cause an error.')}
if (d<=0) {stop('The duration d has to be positive.')}
if(any(d+theta<=0)){
......@@ -156,9 +170,16 @@ qgev.d <- function(p,mut,sigma0,xi,theta,eta,d,tau=0, ...) {
# if denominator is negative NAs will be returned
if(d+theta<=0){return(rep(NA,length(p)))}else{
#sigma.d <-sigma0/(d+theta)^eta
sigma.d <-sigma0/(d+theta)^eta+tau
return(qgev(p,loc=as.numeric(mut*sigma.d)
#sigma.d <-sigma0/(d+theta)^eta+tau
sigma.d <- sigma0/(d+theta)^eta2 +tau
mu.d <- mut*(sigma0/(d+theta)^eta +tau)
return(qgev(p,loc=as.numeric(mu.d)
,scale=as.numeric(sigma.d),shape=as.numeric(xi),...))}
#return(qgev(p,loc=as.numeric(mut*sigma.d) # old
# ,scale=as.numeric(sigma.d),shape=as.numeric(xi),...))} # old
}
......@@ -171,6 +192,7 @@ qgev.d <- function(p,mut,sigma0,xi,theta,eta,d,tau=0, ...) {
#' @param mut,sigma0,xi numeric value, giving modified location, modified scale and shape parameter
#' @param theta numeric value, giving duration offset (defining curvature of the IDF curve)
#' @param eta numeric value, giving duration exponent (defining slope of the IDF curve)
#' @param eta2 numeric value, giving a second duration exponent (needed for multiscaling). If multiscaling is not requested, \eqn{eta2=eta} should be used.
#' @param tau numeric value, giving intensity offset (defining flattening of the IDF curve)
#' @param d positive numeric value, giving duration
#'
......@@ -198,8 +220,9 @@ qgev.d <- function(p,mut,sigma0,xi,theta,eta,d,tau=0, ...) {
#' hist(samp[[2]],breaks = 10,add=TRUE,col=rgb(0,0,1,0.5),freq = FALSE)
#' legend('topright',fill = c(rgb(1,0,0,0.5),rgb(0,0,1,0.5)),
#' legend = paste('d=',1:2,'h'),title = 'Duration')
rgev.d <- function(n,mut,sigma0,xi,theta,eta,d,tau=0) {
if(any(c(length(mut),length(sigma0),length(xi),length(theta),length(eta),length(tau))>1)){
rgev.d <- function(n,mut,sigma0,xi,theta,eta,d,tau=0,eta2=NULL) {
if (is.null(eta2)){eta2=eta}
if(any(c(length(mut),length(sigma0),length(xi),length(theta),length(eta),length(eta2),length(tau))>1)){
message('One of the parameters mut, sigma0, xi, theta, eta, tau is a vector. ',
'This is not intended and might cause an error.')}
if (d<=0) {stop('The duration d has to be positive.')}
......@@ -208,8 +231,12 @@ rgev.d <- function(n,mut,sigma0,xi,theta,eta,d,tau=0) {
,theta, ' this will prododuce NAs.')}
# if denominator is negative NAs will be returned
if(d+theta<=0){return(rep(NA,n))}else{
sigma.d <-sigma0/(d+theta)^eta+tau
return(rgev(n,loc=mut*sigma.d,scale=sigma.d,shape=xi))}
#sigma.d <-sigma0/(d+theta)^eta+tau # old
sigma.d <- sigma0/(d+theta)^eta2 +tau
mu.d <- mut*(sigma0/(d+theta)^eta +tau)
return(rgev(n,loc=mu.d,scale=sigma.d,shape=xi))}
}
R/gevdfit.R
View file @ 9d84b444
......@@ -22,17 +22,18 @@
#' covariates for generalized linear modeling of the parameters (or NULL (the default)
#' if the corresponding parameter is stationary).
#' Parameters are: modified location, scale offset, shape, duration offset, duration exponent, respectively.
#' @param mutlink,sigma0link,xilink,thetalink,etalink,taulink,eta2link Link functions for generalized linear
#' @param mutlink,sigma0link,xilink,thetalink,etalink,eta2link,taulink Link functions for generalized linear
#' modeling of the parameters, created with \code{\link{make.link}}. The default is \code{make.link("identity")}.
#' @param init.vals list of length 5, giving initial values for all or some parameters
#' (order: mut, sigma0, xi, theta, eta). If as.list(rep(NA,5)) (the default) is given, initial parameters are obtained
#' @param init.vals list, giving initial values for all or some parameters
#' (order: mut, sigma0, xi, theta, eta, eta2, tau). If one of those parameters shall not be used (see theta_zero, eta2_zero, tau_zero),
#' the number of parameters has to be reduced accordingly. If some or all given values in init.vals are NA or
#' no init.vals at all is declared (the default), initial parameters are obtained
#' internally by fitting the GEV separately for each duration and applying a linear model to obtain the
#' duration dependency of the location and shape parameter.
#' Initial values for covariate parameters are assumed as 0 if not given.
#' @param theta_zero Logical value, indicating whether theta should be estimated (FALSE, the default) or
#' should stay zero.
#' @param tau_zero,eta2_zero Logical values, indicating whether tau,eta2 should be estimated (TRUE, the default) or
#' should stay zero.
#' @param tau_zero,eta2_zero Logical values, indicating whether tau,eta2 should be estimated (TRUE, the default).
#' @param show Logical; if TRUE (the default), print details of the fit.
#' @param method The optimization method used in \code{\link{optim}}.
#' @param maxit The maximum number of iterations.
......@@ -69,6 +70,8 @@
#' # xi = 0.5
#' # theta = 0
#' # eta = 0.5
#' # eta2 = 0.5
#' # tau = 0
#'
#' data('example',package ='IDF')
#'
......@@ -79,7 +82,7 @@ gev.d.fit<-
function(xdat, ds, ydat = NULL, mutl = NULL, sigma0l = NULL, xil = NULL, thetal = NULL, etal = NULL, taul = NULL, eta2l = NULL,
mutlink = make.link("identity"), sigma0link = make.link("identity"), xilink = make.link("identity"),
thetalink = make.link("identity"), etalink = make.link("identity"), taulink = make.link("identity"), eta2link = make.link("identity"),
init.vals = NULL, theta_zero = FALSE, tau_zero=TRUE, eta_zero=TRUE
init.vals = NULL, theta_zero = FALSE, tau_zero=TRUE, eta2_zero=TRUE,
show = TRUE, method = "Nelder-Mead", maxit = 10000, ...)
{
if (length(xdat) != length(ds)) {
......@@ -95,8 +98,8 @@ gev.d.fit<-
npta <- ifelse(!tau_zero, length(taul) + 1,0)
npe2 <- ifelse(!eta2_zero, length(eta2l) + 1,0)
z$trans <- FALSE # indicates if fit is non-stationary
z$model <- list(mutl, sigma0l, xil, thetal, etal, taul)
z$link <- list(mutlink=mutlink, sigma0link=sigma0link, xilink=xilink, thetalink=thetalink, etalink=etalink, taulink=taulink, eta2link=eta2link)
z$model <- list(mutl, sigma0l, xil, thetal, etal, eta2l, taul)
z$link <- list(mutlink=mutlink, sigma0link=sigma0link, xilink=xilink, thetalink=thetalink, etalink=etalink, eta2link=eta2link, taulink=taulink)
# test for NA values:
if(any(is.na(xdat))) stop('xdat contains NA values. NA values need to be removed first.')
......@@ -133,7 +136,7 @@ gev.d.fit<-
if(!any(is.na(init.vals))){ #all initial values are given
# do nothing
}else if(any(!is.na(init.vals))) { #some initial values are given
if (!eta2_zero) print("autmoatic inital value setting not implemented yet for multiscaling (eta2_zero=FALSE)")
#if (!eta2_zero) print("autmoatic inital value setting not implemented yet for multiscaling (eta2_zero=FALSE)")
init.vals.user <- init.vals
init.vals <- gev.d.init(xdat,ds,z$link) #calculate init.vals using gev.d.init
for (i in 1:length(init.vals)){ #overwrite the calculated initial values with the ones given by the user
......@@ -142,7 +145,7 @@ gev.d.fit<-
}
}
}else{ #no initial values are given
if (!eta2_zero) print("autmoatic inital value setting not implemented yet for multiscaling (eta2_zero=FALSE)")
#if (!eta2_zero) print("autmoatic inital value setting not implemented yet for multiscaling (eta2_zero=FALSE)")
init.vals <- gev.d.init(xdat,ds,z$link)
}
}
......@@ -242,27 +245,21 @@ gev.d.fit<-
mu.d <- mu*(sigma/(ds.t^eta)+tau)
}
}
#sigma.d <- sigma/(ds.t^eta)
#sigma.d <- sigma/(ds.t^eta) # old
y = (xdat - mu.d) / sigma.d # new
#y = (xdat - mu*sigma.d) / sigma.d # derivation
#y <- xdat/sigma.d - mu # old
y <- 1 + xi * y
#if(!theta_zero){ #When user wants to estimate theta parameter (default)
# if(any(eta <= 0) || any(theta < 0) || any(sigma.d <= 0) || any(y <= 0)) return(10^6)
#}else{
# if(any(eta <= 0) || any(sigma.d <= 0) || any(y <= 0)) return(10^6)
#}
#if(!tau_zero) {if(any(tau < 0)) return(10^6)} # check condition for tau as well.
if(!theta_zero) {if(any(theta < 0)) {return(10^6)} } # check definition condition for theta
if(any(eta <= 0) || any(sigma.d <= 0) || any(y <= 0)) return(10^6)
if(!tau_zero) {if(any(tau < 0)) {return(10^6)} } # check definition condition for tau.
if(!eta2_zero) {if(any(eta2 < 0)) {return(10^6)} } # check definition condition for eta2.
sum(log(sigma.d)) + sum(y^(-1/xi)) + sum(log(y) * (1/xi + 1)) # xxx continue here
sum(log(sigma.d)) + sum(y^(-1/xi)) + sum(log(y) * (1/xi + 1))
}
......@@ -281,17 +278,27 @@ gev.d.fit<-
theta <- thetalink$linkinv(thmat %*% (0))
}
eta <- etalink$linkinv(etmat %*% (x$par[seq(npmu + npsc + npsh + npth + 1, length = npet)]))
if(!eta2_zero){ #When user wants to use eta2 parameter
eta2 <- eta2link$linkinv(e2mat %*% (x$par[seq(npmu + npsc + npsh + npth + npet + 1,length = npe2)]))
}else{ #When user requests not to have eta2 parameter (default)
eta2 <- eta
}
if(!tau_zero){ #When user does NOT set tau parameter to zero (not default)
tau <- taulink$linkinv (tamat %*% (x$par[seq(npmu + npsc + npsh + npth + npet + 1,length = npta)]))
tau <- taulink$linkinv(tamat %*% (x$par[seq(npmu + npsc + npsh + npth + npet + npe2 + 1,length = npta)]))
}else{ #When user requests tau parameter to be zero
tau <- taulink$linkinv(tamat %*% (0))
}
z$nllh <- x$value
# normalize data to standard Gumbel:
sc.d <- sc0/((ds+theta)^eta)+tau
#sc.d <- sc0/((ds+theta)^eta)+tau # old
sc.d <- sc0/((ds+theta)^eta2)+tau # new
mut.d <- mut*(sc0/((ds+theta)^eta )+tau) # new
z$data <- - log(as.vector((1 + xi * (xdat/sc.d-mut))^(-1/xi)))
#z$data <- - log(as.vector((1 + xi * (xdat/sc.d-mut))^(-1/xi))) # old
z$data <- - log(as.vector((1 + xi * ((xdat-mut)/sc.d))^(-1/xi))) # new
z$mle <- x$par
test <- try( # catch error
z$cov <- solve(x$hessian) # invert hessian to get estimation on var-covar-matrix
......@@ -314,7 +321,7 @@ gev.d.fit<-
z$vals <- cbind(mut, sc0, xi, eta)
}
}'
z$vals <- cbind(mut, sc0, xi, theta, eta, tau)
z$vals <- cbind(mut, sc0, xi, theta, eta, eta2, tau)
z$init.vals <- unlist(init.vals)
'names2 = c("mut","sigma0","xi") # fixed part for set of names
......@@ -322,18 +329,19 @@ gev.d.fit<-
names2 = c(names2, "eta") # add eta (always)
if(!tau_zero){names2=c(names2, "tau")} # add tau (in case)
colnames(z$vals) <- names2'
colnames(z$vals) <- c("mut","sigma0","xi","theta","eta","tau")
colnames(z$vals) <- c("mut","sigma0","xi","theta","eta","eta2","tau")
z$ds <- ds
z$theta_zero <- theta_zero #Indicates if theta parameter was set to zero by user.
z$tau_zero <- tau_zero #Indicates if tau parameter was set to zero by user.
z$tau_zero <- tau_zero #Indicates if tau parameter was set to zero by user. (default)
z$eta2_zero <- eta2_zero #Indicates if eta2 parameter was set to zero by user. (default)
if(show) {
if(z$trans) { # for nonstationary fit
print(z[c(2, 4)]) # print model, link (3) , conv
# print names of link functions:
cat('$link\n')
#if(!tau_zero){
print(c(z$link$mutlink$name,z$link$sigma0link$name,z$link$xilink$name,z$link$thetalink$name,z$link$etalink$name, z$link$taulink$name))
print(c(z$link$mutlink$name,z$link$sigma0link$name,z$link$xilink$name,z$link$thetalink$name,z$link$etalink$name,z$link$eta2link$name,z$link$taulink$name))
#} else{
# print(c(z$link$mutlink$name,z$link$sigma0link$name,z$link$xilink$name,z$link$thetalink$name,z$link$etalink$name))
#}
......@@ -365,7 +373,7 @@ gev.d.fit<-
#' @param xdat vector of maxima for different durations
#' @param ds vector of durations belonging to maxima in xdat
#' @param link list of 5, link functions for parameters, created with \code{\link{make.link}}
#' @return list of initial values for mu_tilde, sigma_0, xi, eta
#' @return list of initial values for mu_tilde, sigma_0, xi, theta, eta, eta2, tau
#' @importFrom stats lm
#' @importFrom stats median
#' @importFrom ismev gev.fit
......@@ -387,6 +395,7 @@ gev.d.init <- function(xdat,ds,link){
siginit <- link$sigma0link$linkfun(exp(lmsig$coefficients[[1]]))
# eta <- mean of negativ slopes
etainit <- link$etalink$linkfun(mean(c(-lmsig$coefficients[[2]],-lmmu$coefficients[[2]])))
eta2init <- etainit + 0.0
# mean of mu_d/sig_d
# could try:
# mu0/sig0 = exp(lmmu$coefficients[[1]])/exp(lmsig$coefficients[[1]])
......@@ -396,7 +405,7 @@ gev.d.init <- function(xdat,ds,link){
thetainit <- link$thetalink$linkfun(0)
tauinit <- link$taulink$linkfun(0)
return(list(mu=muinit,sigma=siginit,xi=shinit,theta=thetainit,eta=etainit, tau=tauinit))
return(list(mu=muinit,sigma=siginit,xi=shinit,theta=thetainit,eta=etainit, eta2=eta2init, tau=tauinit))
}
#### gev.d.lik ####
......@@ -406,7 +415,7 @@ gev.d.init <- function(xdat,ds,link){
#' Computes (log-) likelihood of d-GEV model
#' @param xdat numeric vector containing observations
#' @param ds numeric vector containing corresponding durations (1/60 corresponds to 1 minute, 1 corresponds to 1 hour)
#' @param mut,sigma0,xi,theta,eta,tau numeric vectors containing corresponding estimates for each of the parameters
#' @param mut,sigma0,xi,theta,eta,eta2,tau numeric vectors containing corresponding estimates for each of the parameters
#' @param log Logical; if TRUE, the log likelihood is returned.
#'
#' @return single value containing (log) likelihood
......@@ -421,18 +430,24 @@ gev.d.init <- function(xdat,ds,link){
#' params <- gev.d.params(fit,ydat = as.matrix(test.set[c('cov1','cov2')]))
#' gev.d.lik(xdat = test.set$dat,ds = test.set$d,mut = params[,1],sigma0 = params[,2],xi = params[,3]
#' ,theta = params[,4],eta = params[,5],log=TRUE)
gev.d.lik <- function(xdat,ds,mut,sigma0,xi,theta,eta,log=FALSE,tau=0) {
gev.d.lik <- function(xdat,ds,mut,sigma0,xi,theta,eta,log=FALSE,tau=0,eta2=NULL) {
if (is.null(eta2)){eta2=eta}
if(any(xi==0)){stop('Function is not defined for shape parameter of zero.')}
if(any(! c(length(ds),length(mut),length(sigma0),length(xi),length(theta),length(eta),length(tau)) %in%
if(any(! c(length(ds),length(mut),length(sigma0),length(xi),length(theta),length(eta),length(eta2),length(tau)) %in%
c(1,length(xdat)))){
stop('Input vectors differ in length, but must have the same length.')
}
ds.t <- ds+theta
sigma.d <- sigma0/(ds.t^eta) + tau
y <- xdat/sigma.d - mut
sigma.d <- sigma0/(ds.t^eta2)+tau
mu.d <- mut*(sigma0/(ds.t^eta)+tau)
y = (xdat - mu.d) / sigma.d # new
y <- 1 + xi * y
#sigma.d <- sigma0/(ds.t^eta) + tau # old
#y <- xdat/sigma.d - mut # old
#y <- 1 + xi * y # old
if(log){
return(sum(log(sigma.d) + y^(-1/xi) + log(y) * (1/xi + 1)))
}else{
......@@ -538,7 +553,7 @@ gev.d.diag <- function(fit,subset=NULL,cols=NULL,pch=NULL,which='both',mfrow=c(1
#' @param fit fit object returned by \code{\link{gev.d.fit}} or \code{\link{gev.fit}}
#' @param ydat A matrix containing the covariates in the same order as used in \code{gev.d.fit}.
#' @seealso \code{\link{IDF-package}}
#' @return data.frame containing mu_tilde, sigma0, xi, theta, eta (or mu, sigma, xi for gev.fit objects)
#' @return data.frame containing mu_tilde, sigma0, xi, theta, eta, eta2, tau (or mu, sigma, xi for gev.fit objects)
#' @export
#'
#' @examples
......@@ -571,8 +586,13 @@ gev.d.params <- function(fit,ydat=NULL){
npth <- 0
}#With no theta parameter, asked by user
npet <- length(fit$model[[5]]) + 1
if(!fit$eta2_zero){
npe2 <- length(fit$model[[6]]) + 1 #Including eta2 parameter (not default)]
}else{
npe2 <- 0
}
if(!fit$tau_zero){
npta <- length(fit$model[[6]]) + 1 #Including tau parameter (not default)]
npta <- length(fit$model[[7]]) + 1 #Including tau parameter (not default)]
}else{
npta <- 0
}#With no tau parameter, asked by user
......@@ -585,7 +605,8 @@ gev.d.params <- function(fit,ydat=NULL){
shlink <- fit$link$xilink$linkinv
if(!fit$theta_zero) thetalink <- fit$link$thetalink$linkinv
etalink <- fit$link$etalink$linkinv
taulink <- fit$link$taulink$linkinv
if(!fit$eta2_zero) eta2link <- fit$link$eta2link$linkinv
if(!fit$tau_zero) taulink <- fit$link$taulink$linkinv
}else{
mulink <- eval(parse(text=fit$link))[[1]]
siglink <- eval(parse(text=fit$link))[[2]]
......@@ -599,7 +620,8 @@ gev.d.params <- function(fit,ydat=NULL){
if(class(fit)=="gev.d.fit"){
if(!fit$theta_zero){thmat <- cbind(rep(1, dim(ydat)[1]), matrix(ydat[, fit$model[[4]]],dim(ydat)[1],npth-1))}
etmat <- cbind(rep(1, dim(ydat)[1]), matrix(ydat[, fit$model[[5]]],dim(ydat)[1],npet-1))
if(!fit$tau_zero) {tamat <- cbind(rep(1, dim(ydat)[1]), matrix(ydat[, fit$model[[6]]],dim(ydat)[1],npta-1))}
if(!fit$eta2_zero) {e2mat <- cbind(rep(1, dim(ydat)[1]), matrix(ydat[, fit$model[[6]]],dim(ydat)[1],npe2-1))}
if(!fit$tau_zero) {tamat <- cbind(rep(1, dim(ydat)[1]), matrix(ydat[, fit$model[[7]]],dim(ydat)[1],npta-1))}
}
# calculate parameters
......@@ -613,12 +635,17 @@ gev.d.params <- function(fit,ydat=NULL){
theta <- rep(0,dim(ydat)[1])
}
eta <- etalink(etmat %*% (fit$mle[seq(npmu + npsc + npsh + npth + 1, length = npet)]))
if(!fit$eta2_zero){
eta2 <- eta2link(e2mat %*% (fit$mle[seq(npmu + npsc + npsh + npth + npet + 1, length = npe2)]))
}else{
eta2 <- eta #rep(0,dim(ydat)[1])
}
if(!fit$tau_zero){
tau <- taulink(tamat %*% (fit$mle[seq(npmu + npsc + npsh + npth + npet + 1, length = npta)]))
tau <- taulink(tamat %*% (fit$mle[seq(npmu + npsc + npsh + npth + npet + npe2 + 1, length = npta)]))
}else{
tau <- rep(0,dim(ydat)[1])
}
return(data.frame(mut=mut,sigma0=sc0,xi=xi,theta=theta,eta=eta, tau=tau))
return(data.frame(mut=mut,sigma0=sc0,xi=xi,theta=theta,eta=eta, eta2=eta2, tau=tau))
}else{
return(data.frame(mu=mut,sig=sc0,xi=xi))
}
......@@ -626,9 +653,8 @@ gev.d.params <- function(fit,ydat=NULL){
#### example data ####
#' Sampled data for duration-dependent GEV
#'
#'
#' @description
#' Randomly sampled data set used for running the example code, containing:
#' \itemize{
......@@ -642,6 +668,7 @@ gev.d.params <- function(fit,ydat=NULL){
#' \item \eqn{\xi = 0.5}
#' \item \eqn{\theta = 0}
#' \item \eqn{\eta = 0.5}
#' \item \eqn{\eta_2 = 0.5}
#' \item \eqn{\tau = 0}}
#'
#'
......
README.Rmd
View file @ 9d84b444
......@@ -66,7 +66,7 @@ plot(ann.max$ds,ann.max$xdat,log='xy',xlab = 'Duration [h]',ylab='Intensity [mm/
* Step 2: fit d-GEV to annual maxima
```{r fit}
fit <- gev.d.fit(xdat = ann.max$xdat,ds = ann.max$ds,sigma0link = make.link('log'), tau_zero = FALSE)
fit <- gev.d.fit(xdat = ann.max$xdat,ds = ann.max$ds,sigma0link = make.link('log'), tau_zero = TRUE)
# checking the fit
gev.d.diag(fit,pch=1,)
# parameter estimates
......
man/IDF.plot.fit.Rd deleted 100644 → 0
View file @ 4c34d9cc
% Generated by roxygen2: do not edit by hand
% Please edit documentation in R/IDF.R
\name{IDF.plot.fit}
\alias{IDF.plot.fit}
\title{This is a faster usable version of \code{\link{IDF.plot}}. The only argument needed is a fit object returned by \code{\link{gev.d.fit}}}
\usage{
IDF.plot.fit(fit, ...)
}
\arguments{
\item{fit}{A fit object returned by \code{\link{gev.d.fit}}}
\item{...}{Options to be passed to \code{\link{IDF.plot}}}
}
\description{
This is a faster usable version of \code{\link{IDF.plot}}. The only argument needed is a fit object returned by \code{\link{gev.d.fit}}
}
man/dgev.d.Rd
View file @ 9d84b444
......@@ -4,7 +4,7 @@
\alias{dgev.d}
\title{d-GEV probability density function}
\usage{
dgev.d(q, mut, sigma0, xi, theta, eta, d, tau = 0, ...)
dgev.d(q, mut, sigma0, xi, theta, eta, d, eta2 = NULL, tau = 0, ...)
}
\arguments{
\item{q}{vector of quantiles}
......@@ -18,6 +18,8 @@ shape parameter \eqn{\xi}.}
\item{d}{positive numeric value, giving duration}
\item{eta2}{numeric value, giving a second duration exponent (needed for multiscaling). If multiscaling is not requested, \eqn{eta2=eta} should be used.}
\item{tau}{numeric value, giving intensity offset \eqn{\tau} (defining flattening of the IDF curve)}
\item{...}{additional parameters passed to \code{\link[evd]{dgev}}}
......
man/example.Rd
View file @ 9d84b444
......@@ -23,6 +23,7 @@ d-GEV parameters used for sampling:
\item \eqn{\xi = 0.5}
\item \eqn{\theta = 0}
\item \eqn{\eta = 0.5}
\item \eqn{\eta_2 = 0.5}
\item \eqn{\tau = 0}}
}
\keyword{datasets}
man/gev.d.fit.Rd
View file @ 9d84b444
......@@ -14,15 +14,18 @@ gev.d.fit(
thetal = NULL,
etal = NULL,
taul = NULL,
eta2l = NULL,
mutlink = make.link("identity"),
sigma0link = make.link("identity"),
xilink = make.link("identity"),
thetalink = make.link("identity"),
etalink = make.link("identity"),
taulink = make.link("identity"),
eta2link = make.link("identity"),
init.vals = NULL,
theta_zero = FALSE,
tau_zero = TRUE,
eta2_zero = TRUE,
show = TRUE,
method = "Nelder-Mead",
maxit = 10000,
......@@ -40,16 +43,18 @@ This can be obtained from \code{\link{IDF.agg}}.}
(or NULL (the default) for stationary fitting). The number of rows should be the same as the
length of xdat.}
\item{mutl, sigma0l, xil, thetal, etal, taul}{Numeric vectors of integers, giving the columns of ydat that contain
\item{mutl, sigma0l, xil, thetal, etal, taul, eta2l}{Numeric vectors of integers, giving the columns of ydat that contain
covariates for generalized linear modeling of the parameters (or NULL (the default)
if the corresponding parameter is stationary).
Parameters are: modified location, scale offset, shape, duration offset, duration exponent, respectively.}
\item{mutlink, sigma0link, xilink, thetalink, etalink, taulink}{Link functions for generalized linear
\item{mutlink, sigma0link, xilink, thetalink, etalink, eta2link, taulink}{Link functions for generalized linear
modeling of the parameters, created with \code{\link{make.link}}. The default is \code{make.link("identity")}.}
\item{init.vals}{list of length 5, giving initial values for all or some parameters
(order: mut, sigma0, xi, theta, eta). If as.list(rep(NA,5)) (the default) is given, initial parameters are obtained
\item{init.vals}{list, giving initial values for all or some parameters
(order: mut, sigma0, xi, theta, eta, eta2, tau). If one of those parameters shall not be used (see theta_zero, eta2_zero, tau_zero),
the number of parameters has to be reduced accordingly. If some or all given values in init.vals are NA or
no init.vals at all is declared (the default), initial parameters are obtained
internally by fitting the GEV separately for each duration and applying a linear model to obtain the
duration dependency of the location and shape parameter.
Initial values for covariate parameters are assumed as 0 if not given.}
......@@ -57,8 +62,7 @@ Initial values for covariate parameters are assumed as 0 if not given.}
\item{theta_zero}{Logical value, indicating whether theta should be estimated (FALSE, the default) or
should stay zero.}
\item{tau_zero}{Logical value, indicating whether tau should be estimated (TRUE, the default) or
should stay zero.}
\item{tau_zero, eta2_zero}{Logical values, indicating whether tau,eta2 should be estimated (TRUE, the default).}
\item{show}{Logical; if TRUE (the default), print details of the fit.}
......@@ -105,6 +109,8 @@ For details on the d-GEV and the parameter definitions, see \link{IDF-package}.
# xi = 0.5
# theta = 0
# eta = 0.5
# eta2 = 0.5
# tau = 0
data('example',package ='IDF')
......
man/gev.d.init.Rd
View file @ 9d84b444
......@@ -14,7 +14,7 @@ gev.d.init(xdat, ds, link)
\item{link}{list of 5, link functions for parameters, created with \code{\link{make.link}}}
}
\value{
list of initial values for mu_tilde, sigma_0, xi, eta
list of initial values for mu_tilde, sigma_0, xi, theta, eta, eta2, tau
}
\description{
obtain initial values by fitting every duration separately
......