recurrence interval analysis

recurrence_example

## Example Recurrence (or return) interval analysis
## functions to calculate return interval for 
## empirical, Gumbel and Log Pearson distributions

library(lmom)

recur.fun=function(x){
  #Sorting data by decreasing order
  sorted.values<-sort(x,decreasing=T)
  
   p<-ppoints(sorted.values)
  
  #Computing the empirical recurrence time
  tr<-1/p
  
  #Estimating the parameters for Gumbel distribution
  fit<-samlmu(x)
  para<-pelgum(fit)
  para
  
  #Estimating the parameters for Log Pearson type 3 distribution
  para3<-pelpe3(fit)
  para3
  
  
  rslt=data.frame(dat.val=sorted.values,
                  emp.rec.tim=tr,
                  gumbel=1/(1-cdfgum(sorted.values,para)),
                  LP3=1/(1-cdfpe3(sorted.values,para3)))
  
  return(rslt)  
}

## quick example
t=seq(0,10,0.1)
ex.dat=sin(t)
plot(ex.dat)
tmp=recur.fun(ex.dat)

min(subset(tmp,dat.val>=0.5)$emp.rec.tim,na.rm=T)
min(subset(tmp,dat.val>=0.5)$gumbel,na.rm=T)
min(subset(tmp,dat.val>=0.5)$LP3,na.rm=T)