bvretlev: Return Level Plot: Bivariate Case

In POT: Generalized Pareto Distribution and Peaks Over Threshold

Return Level Plot: Bivariate Case

Description

Plot return levels for a fitted bivariate extreme value distribution.

Usage

## S3 method for class 'bvpot'
retlev(object, p = seq(0.75,0.95,0.05), main, n = 5000,
only.excess = FALSE, ...)

Arguments

object	An object of class "bvpot". Most often, the return object of the fitbvgpd function.
p	A vector of probabilities for which return levels must be drawn.
main	The title of the graphic window. May be missing.
n	The number (default: 5000) of points needed to draw return levels lines.
only.excess	Logical. If FALSE (the default), all observations are plotted, otherwise, only exceedances above at least one of the two thresholds are plotted.
...	Other parameters to pass to the plot function.

Details

Any bivariate extreme value distribution has the Pickands' representation form i.e.:

G(y_1, y_2) = \exp\left[ - \left(\frac{1}{z_1} + \frac{1}{z_2} \right) A( w ) \right]

where z_i corresponds to y_i transformed to be unit Frechet distributed and w = \frac{z_2}{z_1 + z_2} which lies in [0,1].

Thus, for a fixed probability p and w, we have the corresponding z_1, z_2 values:

z_1 = - \frac{A(w)}{w \log(p)}

z_2 = \frac{z_1 w}{1 - w}

At last, the z_i are transformed back to their original scale.

Value

Plot return levels for a fitted bivariate extreme value distribution. Moreover, an invisible list is return which gives the points used to draw the current plot.

Author(s)

Mathieu Ribatet

See Also

fitbvgpd, plot

Examples

x <- rbvgpd(1000, alpha = 0.25, mar1 = c(0, 1, 0.25))
Mlog <- fitbvgpd(x, c(0, 0), "log")
retlev(Mlog)

POT documentation built on Oct. 17, 2024, 5:06 p.m.