test_that("GEV", { dist <- dist_gev(location = c(0, .5, 0), scale = c(1, 2, 3), shape = c(0, 0.1, 1.1)) euler <- 0.57721566490153286 # Euler's constant # Mean expect_equal(mean(dist), c( euler, 0.5 + 2 * (gamma(0.9) - 1) / 0.1, # location + scale*(gamma(1 - shape) - 1)/shape Inf # Since shape >= 1 ), tolerance = 0.0001) # Median expect_equal(median(dist), c( -log(log(2)), 0.5 + 2 * (log(2)^(-0.1) - 1) / 0.1, # location + scale*(log(2)^(-shape) - 1)/shape 3 * (log(2)^(-1.1) - 1) / 1.1 # location + scale*(log(2)^(-shape) - 1)/shape ), tolerance = 0.0001) expect_equal(median(dist), quantile(dist, 0.5)) # Variance expect_equal(distributional::variance(dist), c( pi^2 / 6, 2^2 * (gamma(1 - 2 * 0.1) - gamma(1 - 0.1)^2) / 0.1^2, # scale^2 * (g2 - g1^2)/shape^2 Inf # since shape >= 0.5 ), tolerance = 0.0001) # Density at <- (0:20) / 10 expect_equal(density(dist, at), list( evd::dgev(at, loc = 0, scale = 1, shape = 0), evd::dgev(at, loc = 0.5, scale = 2, shape = 0.1), evd::dgev(at, loc = 0, scale = 3, shape = 1.1) )) # CDF expect_equal(distributional::cdf(dist, at), list( evd::pgev(at, loc = 0, scale = 1, shape = 0), evd::pgev(at, loc = 0.5, scale = 2, shape = 0.1), evd::pgev(at, loc = 0, scale = 3, shape = 1.1) )) # Quantiles p <- (1:19) / 20 expect_equal(quantile(dist, p = p), list( evd::qgev(p = p, loc = 0, scale = 1, shape = 0), evd::qgev(p = p, loc = 0.5, scale = 2, shape = 0.1), evd::qgev(p = p, loc = 0, scale = 3, shape = 1.1) )) # Generate set.seed(123) rand_dist <- distributional::generate(dist, times = 1e6) expect_equal(lapply(rand_dist[1:2], mean) |> unlist(), mean(dist)[1:2], tolerance = 0.01 ) expect_equal(lapply(rand_dist[1:2], var) |> unlist(), distributional::variance(dist)[1:2], tolerance = 0.01 ) expect_equal(lapply(rand_dist, median) |> unlist(), median(dist), tolerance = 0.01 ) })