Changelog
Source:NEWS.md
News in version 0.2.3
Changes
- The GPD probability functions
dGPD2
,pGPD2
,qGPD2
andrGPD2
and the utility functionspoisGP2PP
andPP2poisGP
have been moved (with some changes) to the nieve package, which is available both on CRAN and on GitHub. So potomax now imports these functions from ** nieve**. As a consequence the compiled code used by this functions has been discarded, making the package easier to install at least for Windows users.
New in version 0.2.1
- New vignette: R Package potomax: Overview, including the Venice example.
Version 0.2.0
The one-parameter exponential distribution can now be used as a distribution for the excesses. This leads to Gumbel-distributed block maxima.
Bug fix. The quantile function
qGPD2
did not work as expected withlower.tail = FALSE
.The approximation of the GPD2 distribution functions for ξ ≈ 0 has been improved. For each of the three functions
dGPD2
,pGPD2
andqGPD2
, a quadratic function of ξ is used for small ξ providing a Taylor series approximation. The derivatives w.r.t. the parameters are consistently taken as functions of ξ that are linear (gradient) and constant (hessian). The distribution functions are now smooth functions of ξ even for very small ξ, say ξ ≈ 10−6 or less. Some tests devoted to this “small ξ” approximation have been added to the package.