fitpot: Fits peaks-over-threshold model of a sample

In ercv: Fitting Tails by the Empirical Residual Coefficient of Variation

Description

Fits peaks-over-threshold model of a sample.

Usage

fitpot(data, threshold=NA, nextremes=NA, evi=NA)

Arguments

data	a numeric vector.
threshold	a threshold value (either this or nextremes must be given but not both).
nextremes	the number of upper extremes to be used (either this or threshold must be given but not both).
evi	extreme value index. In particular, the shape parammeter of a generalized Pareto distribution.

Value

A data.frame with the following columns:

• evi extreme value index. In particular, the shape parammeter of a generalized Pareto distribution.

• psi the scale parameter of a generalized Pareto distribution.

• threshold a threshold value where peaks-over-threshold is applied.

• prob proportion of size of data corresponding to the upper extremes modelled with generalized pareto distribution.

Author(s)

Joan del Castillo, David Moriña Soler and Isabel Serra

References

del Castillo, J. and Padilla, M. (2016). Modeling extreme values by the residual coefficient of variation. SORT Statist. Oper. Res. Trans. 40(2), 303-320.

del Castillo, J. and Serra, I. (2015). Likelihood inference for Generalized Pareto Distribution. Computational Statistics and Data Analysis, 83, 116-128.

del Castillo, J., Daoudi, J. and Lockhart, R. (2014). Methods to Distinguish Between Polynomial and Exponential Tails. Scandinavian Journal of Statistics, 41, 382-393.

See Also

ercv-package, cievi, ccdfplot, cvevi, cvplot, evicv, ppot, qpot, tdata, thrselect, Tm

Examples

data("nidd.thresh", package = "evir")
fitpot(nidd.thresh)

Example output

      evi       psi threshold      prob 
 0.205208 26.091110 65.080000  1.000000 

ercv documentation built on Oct. 30, 2019, 9:49 a.m.