I have added an option for plotting likelihood profiles for return rates for extreme quantiles, e.g., the probability that a rainfall observation will exceed 2 centimeters. This plot type is the dual of the return level plot that was already available, which is the likelihood profile for the quantile that corresponds to a given return rate or period, such as the level of a 100-year flood.
Both plot types also compute and return confidence intervals based on the likelihood ratio test. Through Monte Carlo testing with extreme value models, I've come to appreciate that the likelihood ratio test, when applicable, is very well sized. I just posted a write-up of that work.
Install the latest version by typing "ssc install extreme, replace" in Stata.
--David
Both plot types also compute and return confidence intervals based on the likelihood ratio test. Through Monte Carlo testing with extreme value models, I've come to appreciate that the likelihood ratio test, when applicable, is very well sized. I just posted a write-up of that work.
Install the latest version by typing "ssc install extreme, replace" in Stata.
--David
