mrlplot | R Documentation |
The empirical mean residual life plot.
mrlplot(data, tlim, pscale = FALSE, nt = max(100, length(data)), lty = c(2,1,2), col = 1, conf = 0.95, main = "Mean Residual Life Plot", xlab = "Threshold", ylab = "Mean Excess", ...)
data |
A numeric vector. |
tlim |
A numeric vector of length two, giving the limits for
the thresholds at which the mean residual life plot is
evaluated. If |
pscale |
If |
nt |
The number of thresholds at which the mean residual life plot is evaluated. |
lty, col |
Arguments passed to |
conf |
The (pointwise) confidence coefficient for the plotted confidence intervals. |
main |
Plot title. |
xlab, ylab |
x and y axis labels. |
... |
Other arguments to be passed to |
The empirical mean residual life plot is the locus of points
{u,1/n_u ∑_{i=1}^{n_u} (x(i) - u)}
where x(1), …, x(n_u) are the n_u observations that exceed the threshold u. If the exceedances of a threshold u0 are generalized Pareto, the empirical mean residual life plot should be approximately linear for u > u0.
The confidence intervals within the plot are symmetric intervals based on the approximate normality of sample means.
A list with components x
and y
is invisibly returned.
The components contain those objects that were passed to the formal
arguments x
and y
of matplot
in order to create
the mean residual life plot.
Stuart Coles and Alec Stephenson
fpot
, matplot
,
tcplot
mrlplot(portpirie)
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