Package dev.nm.stat.evt.function
Class ReturnLevel
- java.lang.Object
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- dev.nm.analysis.function.rn2r1.AbstractRealScalarFunction
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- dev.nm.analysis.function.rn2r1.univariate.AbstractUnivariateRealFunction
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- dev.nm.stat.evt.function.ReturnLevel
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- All Implemented Interfaces:
Function<Vector,Double>
,RealScalarFunction
,UnivariateRealFunction
- Direct Known Subclasses:
ACERReturnLevel
public class ReturnLevel extends AbstractUnivariateRealFunction
Given a GEV distribution of a random variable \(X\), the return level \(\eta\) is the value that is expected to be exceeded on average once every interval of time \(T\), with a probability of \(1 / T\). Therefore, \[ \begin{eqnarray} P(X > \eta) & = & \frac{1}{T} \\ 1 - F_X(\eta) & = & \frac{1}{T} \\ F_X(\eta) & = & 1 - \frac{1}{T} \\ \eta & = & F^{-1}(1 - \frac{1}{T}) \end{eqnarray} \] where \(F^{-1}\) is the inverse of the CDF, or quantile function of the distribution.
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Nested Class Summary
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Nested classes/interfaces inherited from interface dev.nm.analysis.function.Function
Function.EvaluationException
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Constructor Summary
Constructors Constructor Description ReturnLevel(UnivariateRealFunction cdfInverse)
Construct the return level function with the inverse function of a univariate extreme value distribution.ReturnLevel(UnivariateEVD evd)
Construct the return level function for a given univariate extreme value distribution.
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Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description double
evaluate(double returnPeriod)
Compute the return level from the given return period.-
Methods inherited from class dev.nm.analysis.function.rn2r1.univariate.AbstractUnivariateRealFunction
evaluate
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Methods inherited from class dev.nm.analysis.function.rn2r1.AbstractRealScalarFunction
dimensionOfDomain, dimensionOfRange
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Methods inherited from class java.lang.Object
clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
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Methods inherited from interface dev.nm.analysis.function.Function
dimensionOfDomain, dimensionOfRange
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Constructor Detail
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ReturnLevel
public ReturnLevel(UnivariateEVD evd)
Construct the return level function for a given univariate extreme value distribution.- Parameters:
evd
- the univariate extreme value distribution
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ReturnLevel
public ReturnLevel(UnivariateRealFunction cdfInverse)
Construct the return level function with the inverse function of a univariate extreme value distribution. This is suitable when only the cdf is known.- Parameters:
cdfInverse
- the inverse of the cdf
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