qqplot: Q–Q Plot for Fitted Factor Copula Model

In eFCM: Exponential Factor Copula Model

Q–Q Plot for Fitted Factor Copula Model

Description

Produce a Q–Q plot comparing empirical exceedances to the fitted eFCM tail, with an optional GPD tail overlay for diagnostic comparison.

Usage

qqplot(object, ...)

## S3 method for class 'fcm'
qqplot(
  object,
  which = 1,
  gpd = TRUE,
  thres = 0.9,
  main = "Q-Q plot",
  xlab = "Theoretical quantiles (exceedances)",
  ylab = "Empirical exceedances",
  ...
)

Arguments

object	An object of class "fcm" returned by fcm().
...	Additional graphical arguments forwarded to plot().
which	Integer scalar. Station (column) index to plot.
gpd	Logical; if TRUE, add a GPD tail fit to the Q–Q plot.
thres	Numeric in (0,1); the probability threshold used to pick the empirical quantile u = quantile(x, thres). Defaults to 0.9.
main, xlab, ylab	Character. Graphical labels passed to plot().

Details

The function first selects a threshold u as the empirical thres-quantile of the selected station series x. It then forms exceedances Y = X - u \mid X>u, fits the eFCM (implicitly via qfcm() and a scalar \lambda estimate), and plots empirical exceedances against theoretical eFCM quantiles in the tail. If gpd=TRUE, a GPD is fitted to the exceedances (threshold 0) and its theoretical tail quantiles are added for visual comparison.

Value

A numeric vector of fitted eFCM theoretical tail quantiles, invisibly returned.

eFCM documentation built on Sept. 9, 2025, 5:52 p.m.