Bivariate Threshold Choice Plot

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Description

Produces a diagnostic plot to assist with threshold choice for bivariate data.

Usage

1
bvtcplot(x, spectral = FALSE, xlab, ylab, ...)

Arguments

x

A matrix or data frame, ordinarily with two columns, which may contain missing values.

spectral

If TRUE, an estimate of the spectral measure is plotted instead of the diagnostic plot.

ylab, xlab

Graphics parameters.

...

Other arguments to be passed to the plotting function.

Details

If spectral is FALSE (the default), produces a threshold choice plot as illustrated in Beirlant et al. (2004). With n non-missing bivariate observations, the integers k = 1,...,n-1 are plotted against the values (k/n)r_(n-k), where r_(n-k) is the (n-k)th order statistic of the sum of the margins following empirical transformation to standard Frechet.

A vertical line is drawn at k0, where k0 is the largest integer for which the y-axis is above the value two. If spectral is FALSE, the largest k0 data points are used to plot an estimate of the spectal measure H([0, w]) versus w.

Value

A list is invisibly returned giving k0 and the values used to produce the plot.

References

Beirlant, J., Goegebeur, Y., Segers, J. and Teugels, J. L. (2004) Statistics of Extremes: Theory and Applications., Chichester, England: John Wiley and Sons.

See Also

fbvpot, tcplot

Examples

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## Not run: bvtcplot(lossalae)
## Not run: bvtcplot(lossalae, spectral = TRUE)

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