use posterior::gpdfit and posterior::qgeneralized_pareto()

R/psis.R

@@ -254,12 +254,12 @@ psis_smooth_tail <- function(x, cutoff) {
   exp_cutoff <- exp(cutoff)
 
   # save time not sorting since x already sorted
-  fit <- gpdfit(exp(x) - exp_cutoff, sort_x = FALSE)
+  fit <- posterior::gpdfit(exp(x) - exp_cutoff, sort_x = FALSE)
   k <- fit$k
   sigma <- fit$sigma
   if (is.finite(k)) {
     p <- (seq_len(len) - 0.5) / len
-    qq <- qgpd(p, k, sigma) + exp_cutoff
+    qq <- posterior::qgeneralized_pareto(p, 0, sigma, k) + exp_cutoff
     tail <- log(qq)
   } else {
     tail <- x

R/psislw.R

@@ -72,11 +72,11 @@ psislw <- function(lw, wcp = 0.2, wtrunc = 3/4,
       # body and gPd smoothed tail
       tail_ord <- order(x_tail)
       exp_cutoff <- exp(cutoff)
-      fit <- gpdfit(exp(x_tail) - exp_cutoff, wip=FALSE, min_grid_pts = 80)
+      fit <- posterior::gpdfit(exp(x_tail) - exp_cutoff, wip=FALSE, min_grid_pts = 80)
       k <- fit$k
       sigma <- fit$sigma
       prb <- (seq_len(tail_len) - 0.5) / tail_len
-      qq <- qgpd(prb, k, sigma) + exp_cutoff
+      qq <- posterior::qgeneralized_pareto(prb, 0, sigma, k) + exp_cutoff
       smoothed_tail <- rep.int(0, tail_len)
       smoothed_tail[tail_ord] <- log(qq)
       x_new <- x