tcplot | R Documentation |
Plots of parameter estimates at various thresholds for peaks over threshold modelling, using the Generalized Pareto or Point Process representation.
tcplot(data, tlim, model = c("gpd","pp"), pscale = FALSE, cmax =
FALSE, r = 1, ulow = -Inf, rlow = 1, nt = 25, which = 1:npar,
conf = 0.95, lty = 1, lwd = 1, type = "b", cilty = 1, vci =
TRUE, xlab, xlim, ylabs, ylims, ask = nb.fig < length(which) &&
dev.interactive(), ...)
data |
A numeric vector. |
tlim |
A numeric vector of length two, giving the limits for the thresholds at which the model is fitted. |
model |
The model; either |
pscale |
If |
cmax |
Logical; if |
r , ulow , rlow |
Arguments used for the identification of
clusters of exceedences (see |
nt |
The number of thresholds at which the model is fitted. |
which |
If a subset of the plots is required, specify a
subset of the numbers |
conf |
The (pointwise) confidence coefficient for the plotted confidence intervals. Use zero to suppress. |
lty , lwd |
The line type and width of the line connecting the parameter estimates. |
type |
The form taken by the line connecting the parameter
estimates and the points denoting these estimates. Possible
values include |
cilty |
The line type of the lines depicting the confidence intervals. |
vci |
If |
xlab , xlim |
Label and limits for the x-axis; if given, these arguments apply to every plot. |
ylabs , ylims |
A vector of y-axis labels and a matrix of
y-axis limits. If given, |
ask |
Logical; if |
... |
Other arguments to be passed to the model fit
function |
For each of the nt
thresholds a peaks over threshold model
is fitted using the function fpot
. When model = "gpd"
(the default), the maximum likelihood estimates for the shape and the
modified scale parameter (modified by subtracting the shape multiplied
by the threshold) are plotted against the thresholds.
When model = "pp"
the maximum likelihood estimates for the
location, scale and shape parameters are plotted against the
thresholds. (The modified scale parameter in the "gpd"
case
is equivalent to the scale parameter in the "pp"
case.)
If the threshold u
is a valid threshold to be used for peaks
over threshold modelling, the parameter estimates depicted should
be approximately constant above u
.
A list is invisibly returned. Each component is a matrix with three columns giving parameter estimates and confidence limits.
Stuart Coles and Alec Stephenson
fpot
, mrlplot
,
clusters
tlim <- c(3.6, 4.2)
## Not run: tcplot(portpirie, tlim)
## Not run: tcplot(portpirie, tlim, nt = 100, lwd = 3, type = "l")
## Not run: tcplot(portpirie, tlim, model = "pp")
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