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
\left(u,\frac{1}{n_u} \sum\nolimits_{i=1}^{n_u}
(x_{(i)} - u) \right)
where x_{(1)}, \dots, x_{(n_u)}
are
the n_u
observations that exceed the threshold u
.
If the exceedances of a threshold u_0
are generalized Pareto, the empirical mean residual life plot
should be approximately linear for u > u_0
.
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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