qqgpd: QQ-Plot against the generalized Pareto distribution for given...

In tea: Threshold Estimation Approaches

Description

Plots the empirical observations above a given threshold against the theoretical quantiles of a generalized Pareto distribution.

Usage

qqgpd(data, nextremes, scale, shape)

Arguments

data	vector of sample data
nextremes	number of exceedances
scale	scale parameter of GPD
shape	shape parameter of GPD

Details

If the fitted GPD model provides a reasonable approximation of the underlying sample data the empirical and theoretical quantiles should coincide. So plotting them against each other should result in a straight line. Deviations from that line speak for a bad model fit and against a GPD assumption.

Value

The straight red line gives the line of agreement. The dashed lines are simulated 95 percent confidence intervals. Therefor the fitted GPD model is simulated 1000 times using Monte Carlo. The sample size of each simulation equals the number of exceedances.

Examples

data=rexp(1000) #GPD with scale=1, shape=0
qqgpd(data,1000,1,0)

Example output

Loading required package: eva

tea documentation built on April 19, 2020, 3:57 p.m.