Mean Residual Life Plot for the Generalized Pareto Distribution

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Description

Plots the empirical mean residual life, with confidence intervals. The mean residual life plot provides a visual diagnostic tool to choose a threshold for exceedances.

Usage

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mrlPlot(data, thresholds = NULL, conf = 0.95, npoints = 100)

Arguments

data

Vector of data.

thresholds

A numeric vector of threshold(s) to plot vertically. Defaults to NULL.

conf

The level of the confidence bounds to use. Defaults to 0.95.

npoints

The number of points to interpolate with. Defaults to 100.

Examples

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## Not run
## x <- rgpd(500, loc = 0, scale = 1, shape = 0.1)
## mrlPlot(x, thresholds = c(2))

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