[R] KS and AD test for Generalized PAreto and Generalized Extreme value

[R. Michael Weylandt]

fExtremes::pgpd & pgev have always worked for me. Though, if I
remember right, the physical sciences and finance tend to use
reciprocal definitions for one of the parameters (can't remember which
-- xi in gpd perhaps?) so tread lightly.

Michael

On Wed, Jan 4, 2012 at 8:21 AM, David Winsemius <dwinsemius at comcast.net> wrote:
>
> On Jan 4, 2012, at 5:49 AM, Vincy Pyne wrote:
>
>> Dear R helpers,
>>
>> I need to use KS and AD test for Generalized Pareto and Generalized
>> extreme value.
>
>
> When I searched on these names "Generalized Pareto"  and "Generalized
> extreme value" I got plenty of hits (over 90 in one case and over 100 in
> another)
>
> You should learn to search with either sos::findFn or with RSiteSearch,
>
> --
> David.
>
>>
>> E.g. if I need to use KS for Weibull, I have teh syntax
>>
>> ks.test(x.wei,"pweibull", shape=2,scale=1)
>>
>> Similarly, for AD I use
>>
>> ad.test(x, distr.fun, ...)
>>
>> My problem is fir given data, I have estimated the parameters of GPD and
>> GEV using lmom. But I am not able to find out the distribution name I should
>> be use for these distributions if I wish to use these tests.
>>
>> E.g, for gamma, I can use pgamma etc. What distribution name I should use
>> for GPD and GEV and for that matter where can I find the distribution names
>> I can use for KS and AD test.
>>
>> Thanks in advance
>>
>> Regards
>>
>> Vincy
>>
>>        [[alternative HTML version deleted]]
>>
>> ______________________________________________
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>> https://stat.ethz.ch/mailman/listinfo/r-help
>> PLEASE do read the posting guide
>> http://www.R-project.org/posting-guide.html
>> and provide commented, minimal, self-contained, reproducible code.
>
>
> David Winsemius, MD
> West Hartford, CT
>
>
> ______________________________________________
> R-help at r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.