interpret.gpdbiv: Interpret Results of Bivariate GPD Fit

Description Usage Arguments Details Value Side Effects See Also Examples

Description

Interprets the results of a bivariate GPD model fitted using the bivariate POT method.

Usage

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interpret.gpdbiv(out, x, y)

Arguments

out

a gpdbiv object

x

a scalar value greater than first threshold

y

a scalar value greater than second threshold

Details

First marginal probabilities of exceeding the points x and y are calculated, and then joint and conditional probabilities.

Value

A vector of probabilities is invisibly returned, in printed order.

Side Effects

A simple interpretation of the fit in terms of exceedance probabilities for the point (x,y) is printed.

See Also

gpdbiv, plot.gpdbiv

Examples

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data(bmw) ; data(siemens)
out <- gpdbiv(-bmw, -siemens, ne1 = 100, ne2 = 100) 
interpret.gpdbiv(out, 0.05, 0.05) 
# probabilities of 5% falls in BMW and Siemens stock prices 

Example output

Thresholds: 0.0342151 0.02688724 
Extreme levels of interest (x,y): 0.05 0.05 
P(X exceeds x) 0.005060484 
P(Y exceeds y) 0.00213182 
P(X exceeds x AND Y exceeds y) 0.001316135 
P(X exceeds x) * P(Y exceeds y) 1.078804e-05 
P(Y exceeds y GIVEN X exceeds x) 0.2600809 
P(X exceeds x GIVEN Y exceeds y) 0.6173763 

evir documentation built on May 2, 2019, 12:21 p.m.

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