automrl | R Documentation |
This function implements the automated proposal from Section 2.2 of Langousis et al. (2016) for mean residual life plots. It returns the threshold that minimize the weighted mean square error and moment estimators for the scale and shape parameter based on weighted least squares.
automrl(xdat, kmax, thresh, plot = TRUE, ...)
xdat |
[numeric] vector of observations |
kmax |
[integer] maximum number of order statistics |
thresh |
[numeric] vector of thresholds; if missing, uses all order statistics from the 20th largest until |
plot |
[logical] if |
... |
additional arguments, currently ignored |
The procedure consists in estimating the usual
a list containing
thresh
: selected threshold
scale
: scale parameter estimate
shape
: shape parameter estimate
Langousis, A., A. Mamalakis, M. Puliga and R. Deidda (2016). Threshold detection for the generalized Pareto distribution: Review of representative methods and application to the NOAA NCDC daily rainfall database, Water Resources Research, 52, 2659–2681.
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.