Package 'mevr' reference manual

Title:	Fitting the Metastatistical Extreme Value Distribution MEVD
Description:	Extreme value analysis with the metastatistical extreme value distribution MEVD (Marani and Ignaccolo, 2015, <doi:10.1016/j.advwatres.2015.03.001>) and some of its variants. In particular, analysis can be performed with the simplified metastatistical extreme value distribution SMEV (Marra et al., 2019, <doi:10.1016/j.advwatres.2019.04.002>) and the temporal metastatistical extreme value distribution TMEV (Falkensteiner et al., 2023, <doi:10.1016/j.wace.2023.100601>). Parameters can be estimated with probability weighted moments, maximum likelihood and least squares. The data can also be left-censored prior to a fit. Density, distribution function, quantile function and random generation for the MEVD, SMEV and TMEV are included. In addition, functions for the calculation of return levels including confidence intervals are provided. For a description of use cases please see the provided references.
Authors:	Harald Schellander [aut, cre] (<https://orcid.org/0000-0001-7661-287X>, Package creator and maintainer), Alexander Lieb [ctb] (Coded first versions of MEVD and SMEV), Marc-Andre Falkensteiner [ctb] (Developed the TMEV)
Maintainer:	Harald Schellander <[email protected]>
License:	GPL-3
Version:	1.1.1
Built:	2024-09-29 06:42:28 UTC
Source:	CRAN

Fit Weibull distribution to censored data

Description

Finds the optimal left-censoring threshold(s) at which the data series should be censored to make sure that the observations in the tail are likely sampled from a Weibull distribution

Usage

censored_weibull_fit(x, thresholds)
censored_weibull_fit(x, thresholds)

Arguments

`x`	A tibble which is most commonly a result of function `weibull_tail_test`.
`thresholds`	A numeric or vector of quantiles which shal be tested as optimal threshold for left-censoring.

Value

A tibble with the optimal threshold itself and the Weibull scale and shape parameters obtained from the censored sample.

Examples

data("dailyrainfall")
wbtest <- weibull_tail_test(dailyrainfall)
censored_weibull_fit(wbtest, 0.9)

data("dailyrainfall")
wbtest <- weibull_tail_test(dailyrainfall)
censored_weibull_fit(wbtest, 0.9)

Daily rainfall data

Description

A dataset containing daily rainfall intended to be used with the package mevr

Usage

data(dailyrainfall)
data(dailyrainfall)

Format

The dataset contains real world daily rainfall observations from a station in the northern Alps. The series contains values from 1971 to 1985 and are assumed to be Weibull distributed. This data series is intended to be used as is as input data for the package mevr to fit the metastatistical extreme value distribution and its variants with different estimation methods.

The dataset is a dataframe with two columns, dates and val:

dates: Days of class Date in the format YYYY-MM-DD
val: Rainfall observations corresponding to the date in the row. The value is the 24 hour sum from the morning hours of day-1 to the morning hours of day.

Examples

## Load example data
data(dailyrainfall)

## explore dataset
head(dailyrainfall)
hist(dailyrainfall$val)
plot(dailyrainfall$val, type = "o")
## Load example data
data(dailyrainfall)

## explore dataset
head(dailyrainfall)
hist(dailyrainfall$val)
plot(dailyrainfall$val, type = "o")

The Metastatistical Extreme Value Distribution

Description

Density, distribution function, quantile function and random generation for the MEV distribution with shape parameter 'w', scale parameter 'c'. Parameter 'n' refers either to the mean number of wet days per year in case of the simplified MEV, or to the number of wet days for each year.

Usage

dmev(x, w, c, n)

pmev(q, w, c, n)

qmev(p, w, c, n)

rmev(N, w, c, n)
dmev(x, w, c, n)

pmev(q, w, c, n)

qmev(p, w, c, n)

rmev(N, w, c, n)

Arguments

`x`, `q`	numeric vector or single values of quantiles for `dmev` and `pmev`.
`w`, `c`	vector or single values of shape and scale parameter of the MEV distribution. If a vector, w and c must have the same length as n.
`n`	Either mean number of wet events per year for the SMEV, or a vector for yearly MEVD calculations, i.e. one value per year (see details). If a vector, n must have the same length as w and c.
`p`	vector or single value of probabilities for `qmev`.
`N`	Number of observations to sample from the MEVD or SMEV.

Value

dmev gives the density function, pmev gives the distribution function, qmev gives the quantile function and rmev provides random realizations of the SMEV and MEVD.

Functions

pmev(): distribution quantile function
qmev(): quantile function
rmev(): random generation function

Examples

# SMEV
dmev(1200:1300, 0.7, 20, 110)
pmev(1200:1300, 0.7, 70, 110)
qmev(1 - 1 / seq(5,50,5), 0.7, 70, 110)

# MEVD: 50-year event of 10 years Weibull series
w <- rnorm(10, 0.8, 0.1) # shape parameter
c <- rnorm(10, 200, 30) # scale parameter
n <- rnorm(10, 200, 50) # number of wet days
qmev(1 - 1 / 50, w, c, n)

# rl-plot
rp <- seq(5, 50, 5)
rl <- qmev(1 - 1 / rp, w, c, n)
pp <- (1:length(rp)) / (length(rp) + 1)
plot(pp, rl, type = "o")
# SMEV
dmev(1200:1300, 0.7, 20, 110)
pmev(1200:1300, 0.7, 70, 110)
qmev(1 - 1 / seq(5,50,5), 0.7, 70, 110)

# MEVD: 50-year event of 10 years Weibull series
w <- rnorm(10, 0.8, 0.1) # shape parameter
c <- rnorm(10, 200, 30) # scale parameter
n <- rnorm(10, 200, 50) # number of wet days
qmev(1 - 1 / 50, w, c, n)

# rl-plot
rp <- seq(5, 50, 5)
rl <- qmev(1 - 1 / rp, w, c, n)
pp <- (1:length(rp)) / (length(rp) + 1)
plot(pp, rl, type = "o")

The non-stationary Metastatistical Extreme Value Distribution

Description

Quantile function for the TMEV distribution with a Weibull parent distribution.

Usage

dtmev(x, data)

ptmev(q, data)

qtmev(p, data)
dtmev(x, data)

ptmev(q, data)

qtmev(p, data)

Arguments

`x`, `q`	Numeric vector or single value of probabilities for `dtmev`.
`data`	A data frame with at least columns `c`, `w` and `year`. Can be taken from the output of the fitted TMEV object, i.e. `x$data` (see `ftmev`).
`p`	Numeric vector or single value of probabilities for `qtmev`.

Value

dtmev gives the density function, ptmev gives the distribution function, and qtmev gives the quantile function of the TMEV.

Functions

ptmev(): distribution quantile function
qtmev(): distribution quantile function

Examples

data(dailyrainfall)
fit <- ftmev(dailyrainfall)
rp <- pp.weibull(fit$maxima)
rl <- qtmev(1 - 1 / rp, fit$data)
plot(rp, sort(fit$maxima), main = "TMEV", ylab = "return level", xlab = "return period (years)")
lines(rp, rl, type = "l")


data(dailyrainfall)
fit <- ftmev(dailyrainfall)
rp <- pp.weibull(fit$maxima)
rl <- qtmev(1 - 1 / rp, fit$data)
plot(rp, sort(fit$maxima), main = "TMEV", ylab = "return level", xlab = "return period (years)")
lines(rp, rl, type = "l")

Fitting the Metastatistical Extreme Value Distribution (MEVD)

Description

Fit the MEVD distribution to rainfall observations with different estimation methods.

Usage

fmev(data, threshold = 0, method = c("pwm", "mle", "ls"))
fmev(data, threshold = 0, method = c("pwm", "mle", "ls"))

Arguments

`data`	The data to which the MEVD should be fitted to. `data` must be a data.frame with two columns. The first column must contain dates of class `Date`, the second or last column must contain the rainfall values corresponding to datums in the rows. No negative values are allowed. NA values are removed with a warning.
`threshold`	A numeric that is used to define wet days as values > threshold. $data <= threshold$ is set to NA.
`method`	Character string describing the method that is used to estimate the Weibull parameters c and w. Possible options are probability weighted moments (`method='pwm'`), maximum likelihood (`method='mle'`) or least squares (`method='ls'`). The `default` is `pwm`. (see details).

Details

With the aim of weakening the requirement of an asymptotic assumption for the GEV distribution, a metastatistical approach was proposed by Marani and Ignaccolo (2015). The MEVD is defined in terms of the distribution of the statistical parameters describing "ordinary" daily rainfall occurrence and intensity. The MEVD accounts for the random process of event occurrence in each block and the possibly changing probability distribution of event magnitudes across different blocks, by recognizing the number of events in each block, n, and the values of the shape and scale parameters w and C of the parent Weibull distribution to be realisations of stochastic variables. The MEVD can then be written as

$F = \frac{1}{T} \sum_{j=1}^T \prod_{k \in A_j} \left( 1-e^{-\left(\frac{x}{C(j,k)}\right)^{w(j,k)}} \right)$

for $w > 0$ and $C > 0$ . With T fully recorded years, yearly C and w can be estimated by fitting a Weibull distribution to the values x of this year, and n is the number of ordinary events per year, i.e. all rainfall events larger than a threshold.

If the probability distribution of daily rainfall is assumed to be time-invariant, the MEVD can be simplified to

$F = [1 - exp(-x/C)^w]^n$

with single values for the shape and scale parameters w and C. n is then the mean number of wet days at this location (Marra et al., 2019; Schellander et al., 2019).

As is shown e.g. Schellander et al., 2019, probability weighted moments should be preferred over maximum likelihood for the estimation of the Weibull parameters w and C. Therefore method = 'pwm' is the default.

The MEVD can also be used for sub-daily precipitation (Marra et al., 2019). In that case n has to be adapted accordingly to the 'mean number of wet events' per year.

This function returns the parameters of the fitted MEVD distribution as well as some additional fitting results and input parameters useful for further analysis.

Value

A list of class mevr with the fitted Weibull parameters and other helpful ingredients.

`c`	vector of Weibull scale parameters of the MEVD, each component refers to one year.
`w`	vector of Weibull shape parameters of the MEVD, each component refers to one year.
`n`	Number of wet events per year. Wet events are defined as rainfall > `threshold`.
`params`	A named vector of the fitted parameters.
`maxima`	Maximum values corresponding to each year.
`data`	$data >= threshold$ used to fit the MEVD and additional components which may be useful for further analysis.
`years`	Vector of years as YYYY.
`threshold`	The chosen threshold.
`method`	Method used to fit the MEVD.
`type`	The type of distribution ("MEVD")

Author(s)

Harald Schellander, Alexander Lieb

References

Marani, M. and Ignaccolo, M. (2015) 'A metastatistical approach to rainfall extremes', Advances in Water Resources. Elsevier Ltd, 79(Supplement C), pp. 121-126. doi: 10.1016/j.advwatres.2015.03.001.

Schellander, H., Lieb, A. and Hell, T. (2019) 'Error Structure of Metastatistical and Generalized Extreme Value Distributions for Modeling Extreme Rainfall in Austria', Earth and Space Science, 6, pp. 1616-1632. doi: 10.1029/2019ea000557.

Examples

data(dailyrainfall)
fit <- fmev(dailyrainfall, method = "mle")
fit
plot(fit)

data(dailyrainfall)
fit <- fmev(dailyrainfall, method = "mle")
fit
plot(fit)

Fitting the simplified Metastatistical Extreme Value Distribution (SMEV)

Description

Fit the SMEV distribution to rainfall observations with different estimation methods.

Usage

fsmev(
  data,
  threshold = 0,
  method = c("pwm", "mle", "ls"),
  censor = FALSE,
  censor_opts = list(),
  sd = FALSE,
  sd.method = "boot",
  R = 502
)
fsmev(
  data,
  threshold = 0,
  method = c("pwm", "mle", "ls"),
  censor = FALSE,
  censor_opts = list(),
  sd = FALSE,
  sd.method = "boot",
  R = 502
)

Arguments

`data`	The data to which the SMEV should be fitted to. `data` must be a data.frame with two columns. The first column must contain dates of class `Date`, the second or last column must contain the rainfall values corresponding to datums in the rows. No negative values are allowed. NA values are removed with a warning.
`threshold`	A numeric that is used to define wet days as values > threshold. $data <= threshold$ is set to NA.
`method`	Character string describing the method that is used to estimate the Weibull parameters c and w. Possible options are probability weighted moments (`method='pwm'`), maximum likelihood (`method='mle'`) or least squares (`method='ls'`). The `default` is `pwm`. (see details).
`censor`	If `censor=TRUE`, the data series will be left-censored to assure that the observed maxima are samples from a weibull tail. Defaults to `censor=FALSE`.
`censor_opts`	An empty list which can be populated with components `thresholds`, `mon`, `nrtrials` and `R`. They give the range of quantiles used as left-censoring threshold, the month with which the block starts, the number of trials used to achieve a weibull fit to the left-censored sample, and the number of synthetic samples used for the test statistics, respectively. See also `weibull_tail_test`.
`sd`	If `sd=TRUE`, confidence intervals of the SMEV distribution are calculated (see details).
`sd.method`	Currently only a non parametric bootstrap technique can be used to calculate SMEV confidence intervals with `sd.method='boot'`. The default is `sd=FALSE`.
`R`	The number of samples drawn from the SMEV distribution to calculate the confidence intervals with `sd.method='boot'`

Details

The SMEV was introduced by (Marra et al., 2019) as a simplified version of the MEVD (Marani and Ignaccolo, 2015) with the assumption of a stationary parent Weibull distribution as

$F = [1 - exp(-x/C)^w]^n$

for $w > 0$ and $C > 0$ being the Weibull shape and scale parameter and $n > 0$ being the mean number of wet days over all years. Wet days are defined as rainfall events > threshold. As it was shown by e.g. Schellander et al., 2019, probability weighted moments should be preferred over maximum likelihood for the estimation of the Weibull parameters w and C. Therefore method = 'pwm' is the default.

Confidence intervals of the SMEV distribution can be calculated using a non parametric bootstrap technique. Note that this very slow.

This function returns the parameters of the fitted SMEV distribution as well as some additional fitting results and input parameters useful for further analysis.

Value

A list of class mevr with components:

`c`	Single value of the Weibull scale parameter of the SMEV.
`w`	Single value of the Weibull shape parameter of the SMEV.
`n`	Mean number of wet events, averaged over all years. Wet events are defined as rainfall > `threshold`.
`params`	A named vector of the fitted parameters.
`maxima`	Maximum values corresponding to each year.
`std`	Standard error of fitted parameters (if `sd=TRUE`).
`varcov`	Covariance matrix of fitted parameters (if `sd=TRUE`).
`data`	$data >= threshold$ used to fit the SMEV and additional components which may be useful for further analysis.
`years`	Vector of years as YYYY.
`threshold`	The chosen threshold.
`method`	Method used to fit the MEVD. Note that `method` is set to `censored lsreg` when the data is left-censored and the weibull tail test is not rejected.
`type`	The type of distribution ("SMEV")

Author(s)

Harald Schellander, Alexander Lieb

References

Marra, F. et al. (2019) 'A simplified MEV formulation to model extremes emerging from multiple nonstationary underlying processes', Advances in Water Resources. Elsevier Ltd, 127(April), pp. 280-290. doi: 10.1016/j.advwatres.2019.04.002.

Examples

data(dailyrainfall)

fit <- fsmev(dailyrainfall)
fit
plot(fit)

# left censor data prior to fitting
set.seed(123)
sample_dates <- seq.Date(from = as.Date("2000-01-01"), to = as.Date("2020-12-31"), by = 1)
sample_data <- data.frame(dates = sample_dates, val = sample(rnorm(length(sample_dates))))
d <- sample_data |>
  filter(val >= 0 & !is.na(val))

fit <- fsmev(d)
fit_c <- fsmev(d, 
               censor = TRUE, 
               censor_opts = list(thresholds = c(seq(0.5, 0.9, 0.1), 0.95),
                                  mon = 1,
                                  nrtrials = 2,
                                  R = 100))

rp <- 2:100
rl <- return.levels.mev(fit, return.periods = rp)
rl_c <- return.levels.mev(fit_c, return.periods = rp)
plot(sort(pp.weibull(fit$maxima)), sort(fit$maxima))
lines(rl$rp, rl$rl)
lines(rl_c$rp, rl_c$rl, col = "red")


data(dailyrainfall)

fit <- fsmev(dailyrainfall)
fit
plot(fit)

# left censor data prior to fitting
set.seed(123)
sample_dates <- seq.Date(from = as.Date("2000-01-01"), to = as.Date("2020-12-31"), by = 1)
sample_data <- data.frame(dates = sample_dates, val = sample(rnorm(length(sample_dates))))
d <- sample_data |>
  filter(val >= 0 & !is.na(val))

fit <- fsmev(d)
fit_c <- fsmev(d, 
               censor = TRUE, 
               censor_opts = list(thresholds = c(seq(0.5, 0.9, 0.1), 0.95),
                                  mon = 1,
                                  nrtrials = 2,
                                  R = 100))

rp <- 2:100
rl <- return.levels.mev(fit, return.periods = rp)
rl_c <- return.levels.mev(fit_c, return.periods = rp)
plot(sort(pp.weibull(fit$maxima)), sort(fit$maxima))
lines(rl$rp, rl$rl)
lines(rl_c$rp, rl_c$rl, col = "red")

Fitting the temporal Metastatistical Extreme Value Distribution (TMEV)

Description

Fit the temporal MEVD distribution TMEV to rainfall observations with a cyclic spline to account for seasonality.

Usage

ftmev(
  data,
  threshold = 0,
  minyears = 10,
  day_year_interaction = FALSE,
  verbose = FALSE,
  yday_ti_shape_k = 10,
  yday_ti_scale_k = 10,
  year_ti_shape_k = 10,
  year_ti_scale_k = 10
)
ftmev(
  data,
  threshold = 0,
  minyears = 10,
  day_year_interaction = FALSE,
  verbose = FALSE,
  yday_ti_shape_k = 10,
  yday_ti_scale_k = 10,
  year_ti_shape_k = 10,
  year_ti_scale_k = 10
)

Arguments

`data`	The data to which the TMEV should be fitted to. `data` must be a data.frame with two columns. The first column must contain dates of class `Date`, the second or last column must contain the rainfall values corresponding to datums in the rows. No negative values are allowed. NA values are removed with a warning.
`threshold`	A numeric that is used to define wet days as values > threshold. $data <= threshold$ is set to NA.
`minyears`	Minimum number of available years for fitting a cyclic spline to the non-stationary data series (see details).
`day_year_interaction`	Logical. Should an additional year vs day of the year interaction be used for the calculation of the temporal trend in seasonality? (see details). Default is `FALSE`.
`verbose`	Logical. If `TRUE`, verbose output of the temporal fitting process is shown during runtime.
`yday_ti_shape_k`	A numeric that is used to set the dimension of the bases used to represent the smooth term ti() for yday in the formula for shape.
`yday_ti_scale_k`	A numeric that is used to set the dimension of the bases used to represent the smooth term ti() for yday in the formula for scale.
`year_ti_shape_k`	A numeric that is used to set the dimension of the bases used to represent the smooth term ti() for year in the formula for shape (only used when day_year_interaction == TRUE).
`year_ti_scale_k`	A numeric that is used to set the dimension of the bases used to represent the smooth term ti() for year in the formula for scale (only used when day_year_interaction == TRUE).

Details

With the aim of exploiting the full temporal information for parameter estimation, Falkensteiner et al., (2023) introduced the TMEV, which is an explicitly non-stationary formulation of the MEVD (Marani and Ignaccolo, 2015). Adopting a Weibull distribution for ordinary rainfall events, the assumption of yearly constant coefficients is relaxed by allowing the Weibull parameters to fluctuate with time. The TMEV can then be written as

$F = \frac{1}{T} \sum_{j=1}^T \prod_{k \in A_j} \left( 1-e^{-\left(\frac{x}{C(j,k)}\right)^{w(j,k)}} \right)$

with $w > 0$ and $C > 0$ being the Weibull shape and scale parameters, and $A_j \subseteq (1, ..., 366)$ being the wet days in year j. The temporal and the superimposed seasonal dependence on w and c is modeled with a cyclic seasonal effect on the day of the year.

Technically this is accomplished by fitting a cyclic spline to the daily rainfall values. The following formula is used for the fitting procedure of both the Weibull scale and shape parameter with the function bamlss from package bamlss:

$parameter = x \sim s(year) + ti(yday, bs = "cc", k = 10)$

The first effect models the long-term temporal trend of the parameter with a thin-plate spline. The second effect models the superimposed seasonal fluctuations of the parameter with the 'day of the year' with a cyclic cubic regression spline and 10 knots, to ensure a smooth transition between December and January. The number of knots (k) in the above equation can be set separately for the year and yday effect as well as separately for the shape and scale parameter of the Weibull distribution. This can be done by overwriting the parameters yday_ti_shape_k, yday_ti_scale_k, year_ti_shape_k, year_ti_scale_k in the call to ftmev. Note that these values depend on many factors, such as the structure of the data, the TMEV is fitted to. Please refer to the documentation of the packages bamlss and, in particular mgcv.

For data series with lengths < 10 years, the first temporal effect is changed to a simple linear time trend.

For trend analysis, an additional interaction term can be added to the model formula. The following term models the relationship between the seasonality as day of the year and the year itself with a combination of a thin plate and a cyclic cubic spline:

$ti(year, yday, bs = c("tp", "cc"), d = c(1, 1), k = c(year_ti_k, yday_ti_k))$

This function returns the parameters of the fitted TMEV distribution as well as some additional fitting results and input parameters useful for further analysis.

Value

A list of class mevr with components:

`c`	Vector of Weibull scale parameters of the TMEV, each row refers to one event, which is a day for daiyl rainfall.
`w`	Vector of Weibull shape parameters of the TMEV, each row refers to one event, which is a day for daiyl rainfall.
`n`	Number of wet events per year. Wet events are defined as rainfall > `threshold`.
`maxima`	Maximum values corresponding to each year.
`data`	A data frame with the data used to fit the TMEV and the fitted Weibull parameters `c` and `w`.
`years`	Vector of years as YYYY.
`threshold`	The chosen threshold.
`x`	The fitted `bamlss` object.
`type`	The type of distribution ("TMEV").
`minyears`	The minimum number of years used to fit the TMEV as provided.

Author(s)

Marc-Andre Falkensteiner, Harald Schellander

References

Marani, M. and Ignaccolo, M. (2015) 'A metastatistical approach to rainfall extremes', Advances in Water Resources. Elsevier Ltd, 79(Supplement C), pp. 121-126. doi: 10.1016/j.advwatres.2015.03.001.

Falkensteiner, M., Schellander, H., Hell, T. (2023) 'Accounting for seasonality in the metastatistical extreme value distribution', (Weather and Climate Extremes, 42, 2023, https://doi.org/10.1016/j.wace.2023.100601).

Examples

data(dailyrainfall)
fit <- ftmev(dailyrainfall)
plot(fit, type = "rl")

# temporal trend of the Weibull parameters 
pred <- predict(fit)
pred_year <- predict(fit, term = "year")
boxplot(c.pred ~ year, data = pred)
with(pred_year, lines(year - 1970, c.pred.year, type = "b", pch = 20, col = "red"))

data(dailyrainfall)
fit <- ftmev(dailyrainfall)
plot(fit, type = "rl")

# temporal trend of the Weibull parameters 
pred <- predict(fit)
pred_year <- predict(fit, term = "year")
boxplot(c.pred ~ year, data = pred)
with(pred_year, lines(year - 1970, c.pred.year, type = "b", pch = 20, col = "red"))

Plot graphs of MEVD, SMEV or TMEV fit

Description

A return level plot, qq-plot, pp-plot and a histogram with the fitted density is produced

Usage

## S3 method for class 'mevr'
plot(
  x,
  q = c(2, 10, 20, 30, 50, 75, 100, 150, 200),
  ci = FALSE,
  type = c("all", "rl", "qq", "pp", "hist"),
  ...
)
## S3 method for class 'mevr'
plot(
  x,
  q = c(2, 10, 20, 30, 50, 75, 100, 150, 200),
  ci = FALSE,
  type = c("all", "rl", "qq", "pp", "hist"),
  ...
)

Arguments

`x`	An object of class`mevr`, whose `type` argument is one of MEVD, SMEV or TMEV
`q`	vector of return periods, $q > 1$ .
`ci`	if `ci=TRUE`, confidence intervals will be computed.
`type`	if omitted a panel with a return level plot (`type='rl'`, a density plot (`type='hist'`), a qq-plot (`type='qq'`) and a probability plot (`tpe='pp'`) are shown.
`...`	Further parameters may also be supplied as arguments. See e.g. plot.

Value

No return value, only a plot is produced.

Examples

data(dailyrainfall)

# fit a simplified MEVD
fit <- fsmev(dailyrainfall)
fit
plot(fit)

# fit MEVD
fit <- fmev(dailyrainfall, method = "ls")
fit
plot(fit)
data(dailyrainfall)

# fit a simplified MEVD
fit <- fsmev(dailyrainfall)
fit
plot(fit)

# fit MEVD
fit <- fmev(dailyrainfall, method = "ls")
fit
plot(fit)

Weibull plotting position

Description

Calculates the Weibull plotting position for the given maxima

Usage

pp.weibull(x)
pp.weibull(x)

Arguments

`x`	Numeric vector of block maxima

Value

A numeric vector of Weibull plotting positions corresponding to the given maxima x

Examples

data(dailyrainfall)
fit <- fsmev(dailyrainfall)
rp <- pp.weibull(fit$maxima)
rl <- return.levels.mev(fit, return.periods = rp)
plot(rp, sort(fit$maxima), xlab = "Return period (years)", ylab = "Return level", main = fit$type)
lines(rp, rl$rl)
data(dailyrainfall)
fit <- fsmev(dailyrainfall)
rp <- pp.weibull(fit$maxima)
rl <- return.levels.mev(fit, return.periods = rp)
plot(rp, sort(fit$maxima), xlab = "Return period (years)", ylab = "Return level", main = fit$type)
lines(rp, rl$rl)

TMEV prediction

Description

Takes a mevr object where the TMEV has been fitted to rainfall data and calculates bamlss predictions for the distributional parameters and the model terms. Basically a wrapper to the corresponding function predict.bamlss

Usage

## S3 method for class 'mevr'
predict(object, newdata, term, ...)
## S3 method for class 'mevr'
predict(object, newdata, term, ...)

Arguments

`object`	Object of class `mevr`, fitted with the TMEV.
`newdata`	A data frame with the model covariates (year, yday) at which predictions are required. Note that depending on argument term, only covariates that are needed by the corresponding model terms need to be supplied. If not supplied, predictions are made on the data supplied by the fitted object `x`.
`term`	Character of the model terms for which predictions shall be calculated. Can only be `"year"` or `"yday"`. If not specified, predictions for all terms are calculated.
`...`	Arguments passed to prediction functions that are part of a bamlss.family object, i.e., the objects has a $predict() function that should be used instead.

Details

See also the details of ftmev for an explanation of the model terms used to fit the temporal trend of the Weibull parameters. The basis dimensions yday_ti_shape_k, yday_ti_scale_k, year_ti_shape_k, year_ti_scale_k are taken from the fitting process, i.e. the call to ftmev.

Value

A data.frame with the supplied covariables and the predicted parameters.

Examples

data(dailyrainfall)

# restrict for the sake of speed
idx <- which(as.POSIXlt(dailyrainfall$date)$year + 1900 < 1976)
data <- dailyrainfall[idx, ]

f <- ftmev(data, minyears = 5)
predict(f, term = "year")

data(dailyrainfall)

# restrict for the sake of speed
idx <- which(as.POSIXlt(dailyrainfall$date)$year + 1900 < 1976)
data <- dailyrainfall[idx, ]

f <- ftmev(data, minyears = 5)
predict(f, term = "year")

Print method for object of class mevr

Description

Print nicely formatted output of the fit to the MEVD and its variants

Usage

## S3 method for class 'mevr'
print(x, digits = max(3, getOption("digits") - 3), ...)
## S3 method for class 'mevr'
print(x, digits = max(3, getOption("digits") - 3), ...)

Arguments

`x`	Object of class `mevr`, fitted with MEVD, SMEV or TMEV.
`digits`	Number of digits.
`...`	Additional parameters.

Value

A nicely formatted output of the fitting results.

Examples

data(dailyrainfall)

# fit a simplified MEVD
fit <- fsmev(dailyrainfall)
print(fit)
data(dailyrainfall)

# fit a simplified MEVD
fit <- fsmev(dailyrainfall)
print(fit)

Return Levels for the MEVD/SMEV/TMEV extreme value distributions

Description

Calculate return levels for a MEVD, SMEV or TMEV extreme value distributions from an object of class mevr.

Usage

return.levels.mev(
  x,
  return.periods = c(2, 10, 20, 30, 50, 75, 100, 150, 200),
  ci = FALSE,
  alpha = 0.05,
  method = "boot",
  R = 502,
  ncores = 2L
)
return.levels.mev(
  x,
  return.periods = c(2, 10, 20, 30, 50, 75, 100, 150, 200),
  ci = FALSE,
  alpha = 0.05,
  method = "boot",
  R = 502,
  ncores = 2L
)

Arguments

`x`	An object of class `mevr`, either fitted with the MEVD, SMEV or TMEV
`return.periods`	A vector of return periods in years, excluding 1.
`ci`	If `ci=TRUE`, confidence intervals are calculated depending on the type of distribution (only for MEVD or SMEV).
`alpha`	Number between zero and one giving the `1 - alpha` confidence level. Defaults to `alpha=0.05`.
`method`	Character string giving the method for confidence interval calculation. Option `method='boot'` employs a parametric bootstrap that simulates data from the fitted model, and then fits the chosen MEVD type to each simulated data set to obtain a sample of parameters or return levels (very slow).
`R`	The number of bootstrap iterations.
`ncores`	Number of cores used for parallel computing of confidence intervals. Defaults to 2.

Details

Note that bootstraping the confidence intervals is very slow.

Value

A list with return levels, chosen return periods and, if ci=TRUE, alpha/2 and 1 - alpha/2 confidence intervals.

Examples

data(dailyrainfall)

fit <- fmev(dailyrainfall)
return.levels.mev(fit)
plot(fit)
 
data(dailyrainfall)

fit <- fmev(dailyrainfall)
return.levels.mev(fit)
plot(fit)

Weibull tail test

Description

This functions provides a way to test if observed rainfall maxima from a data series are likely samples from a parent distribution with a Weibull tail. The concept and the code is based on the paper Marra F, W Amponsah, SM Papalexiou, 2023. Non-asymptotic Weibull tails explain the statistics of extreme daily precipitation. Adv. Water Resour., 173, 104388, https://doi.org/10.1016/j.advwatres.2023.104388. They also provide the corresponding Matlab code (https://zenodo.org/records/7234708).

Usage

weibull_tail_test(
  data,
  threshold = 0,
  mon = 1,
  cens_quant = 0.9,
  p_test = 0.1,
  R = 500
)
weibull_tail_test(
  data,
  threshold = 0,
  mon = 1,
  cens_quant = 0.9,
  p_test = 0.1,
  R = 500
)

Arguments

`data`	A data.frame
`threshold`	A numeric that is used to define wet days as values > threshold.
`mon`	This month defines the block whose maxima will be tested. The block goes from month-YYYY-1 to month-YYYY.
`cens_quant`	The quantile at which the tail test should be performed.
`p_test`	A numeric defining the 1 - p_test confidence band. This function tests the ratio of observed block maxima below p_test and above 1 - p_test. See details.
`R`	The number of synthetic samples.

Details

Null-Hyothesis: block maxima are samples from a parent distribution with Weibull tail (tail defined by a given left-censoring threshold). If the fraction of observed block maxima outside of the interval defined by p_test is larger than p_test the null hypothesis is rejected.

Value

A tibble with the test outcome and other useful results:

`is_rejected`	outcome of the test (TRUE means that the assumption of Weibull tails for the given left-censoring threshold is rejected).
`p_out`	fraction of block maxima outside of the Y = 1 - p_out confidence interval
`p_hi`	fraction of block maxima above the Y = 1 - p_out confidence interval
`p_lo`	fraction of block maxima below the Y = 1 - p_out confidence interval
`scale`	scale parameter of the Weibull distribution describing the non-censored samples
`shape`	shape parameter of the Weibull distribution describing the non-censored samples
`quant`	the quantile used as left-censoring threshold

Examples

data("dailyrainfall")
weibull_tail_test(dailyrainfall)

# generate data
set.seed(123)
sample_dates <- seq.Date(from = as.Date("2000-01-01"), to = as.Date("2010-12-31"), by = 1)
sample_data <- data.frame(dates = sample_dates, val = sample(rnorm(length(sample_dates))))
d <- sample_data |>
  filter(val >= 0 & !is.na(val))
fit_uncensored <- fsmev(d)

# censor the data
thresholds <- c(seq(0.1, 0.9, 0.1), 0.95)
p_test <- 0.1
res <- lapply(thresholds, function(x) {
  weibull_tail_test(d, cens_quant = x, p_test = p_test, R = 200)
})
res <- do.call(rbind, res)

# find the optimal left-censoring threshold
cens <- censored_weibull_fit(res, thresholds)
cens$optimal_threshold
cens$quantile

# plot return levels censored vs uncensored
rp <- c(2:100)
rl_uncensored <- return.levels.mev(fit_uncensored, return.periods = rp)$rl 
rl_censored <- qmev(1 - 1/rp, cens$shape, cens$scale, fit_uncensored$n)
plot(rp, rl_uncensored, type = "l", log = "x", ylim = c(0, max(rl_censored, rl_uncensored)), 
     ylab = "return level", xlab = "return period (a)")
points(pp.weibull(fit_uncensored$maxima), sort(fit_uncensored$maxima))
lines(rp, rl_censored, type = "l", col = "red")
legend("bottomright", legend = c("uncensored", 
        paste0("censored at ", round(cens$optimal_threshold, 1), "mm")), 
        col = c("black", "red"), lty = c(1, 1))

data("dailyrainfall")
weibull_tail_test(dailyrainfall)

# generate data
set.seed(123)
sample_dates <- seq.Date(from = as.Date("2000-01-01"), to = as.Date("2010-12-31"), by = 1)
sample_data <- data.frame(dates = sample_dates, val = sample(rnorm(length(sample_dates))))
d <- sample_data |>
  filter(val >= 0 & !is.na(val))
fit_uncensored <- fsmev(d)

# censor the data
thresholds <- c(seq(0.1, 0.9, 0.1), 0.95)
p_test <- 0.1
res <- lapply(thresholds, function(x) {
  weibull_tail_test(d, cens_quant = x, p_test = p_test, R = 200)
})
res <- do.call(rbind, res)

# find the optimal left-censoring threshold
cens <- censored_weibull_fit(res, thresholds)
cens$optimal_threshold
cens$quantile

# plot return levels censored vs uncensored
rp <- c(2:100)
rl_uncensored <- return.levels.mev(fit_uncensored, return.periods = rp)$rl 
rl_censored <- qmev(1 - 1/rp, cens$shape, cens$scale, fit_uncensored$n)
plot(rp, rl_uncensored, type = "l", log = "x", ylim = c(0, max(rl_censored, rl_uncensored)), 
     ylab = "return level", xlab = "return period (a)")
points(pp.weibull(fit_uncensored$maxima), sort(fit_uncensored$maxima))
lines(rp, rl_censored, type = "l", col = "red")
legend("bottomright", legend = c("uncensored", 
        paste0("censored at ", round(cens$optimal_threshold, 1), "mm")), 
        col = c("black", "red"), lty = c(1, 1))

Package 'mevr'

Help Index

Fit Weibull distribution to censored data

Description

Usage

Arguments

Value

Examples

Daily rainfall data

Description

Usage

Format

Examples

The Metastatistical Extreme Value Distribution

Description

Usage

Arguments

Value

Functions

Examples

The non-stationary Metastatistical Extreme Value Distribution

Description

Usage

Arguments

Value

Functions

Examples

Fitting the Metastatistical Extreme Value Distribution (MEVD)

Description

Usage

Arguments

Details

Value

Author(s)

References

See Also

Examples

Fitting the simplified Metastatistical Extreme Value Distribution (SMEV)

Description

Usage

Arguments

Details

Value

Author(s)

References

See Also

Examples

Fitting the temporal Metastatistical Extreme Value Distribution (TMEV)

Description

Usage

Arguments

Details

Value

Author(s)

References

See Also

Examples

Plot graphs of MEVD, SMEV or TMEV fit

Description

Usage

Arguments

Value

Examples

Weibull plotting position

Description

Usage

Arguments

Value

Examples

TMEV prediction

Description

Usage

Arguments

Details

Value

See Also

Examples

Print method for object of class mevr

Description

Usage