Confidence Limits GPD

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What steps will reproduce the problem?
1. Fit GPD with phat = fitgenpar(data,options)
2. Calculation of CI by [x,xlo,xup] = invgenpar(F,phat,options) for 


What is the expected output? What do you see instead?
I want to calculate return levels and the corresponding CI bounds.
First, I do a GPD fit with phat = fitgenpar(data,options).
that gives me:
 1. the array with gpd-distribution phat.params
 2. the upper and lower CI phat.upperbound and phat.lowerbound

Now, I calculate the return level for Tr (first approach):
xr = invgenpar(1/(lambda*Tr), phat.params(1), phat.params(2), phat.params(3), 
'lowertail',false);
The CI bounds are:
xru = invgenpar(1/(lambda*Tr), phat.upperbound(1), phat.upperbound(2), 
phat.upperbound(3), 'lowertail',false);
xru = invgenpar(1/(lambda*Tr), phat.lowerbound(1), phat.lowerbound(2), 
phat.lowerbound(3), 'lowertail',false);

The same could be done (if I understand right) with (second approach):
[xr,xrl,xru] = invgenpar(1/(lambda*Tr, phat, 'lowertail',false)

Now, as expected, the values for xr are the same in the first and in the second 
approach. But, the values xru and xrl (CI bounds) differ. The second appoach 
produces very wide bands. How comes?


What version of the product are you using? On what operating system?
Newest WAFO 2.5 on MATLAB R2012a on Win7.

Please provide any additional information below.

Original issue reported on code.google.com by [email protected] on 24 Apr 2013 at 12:12