fullEstThreshold: Find the Optimal Threshold for the Full Model

In usnistgov/potMax: Empirical Calculation of the Distribution of the Maximum from a Peaks Over Threshold Process

Description

Estimate the threshold to use for the 2D extremal Poisson process.

Usage

fullEstThreshold(x, lt, n_min, n_max, n_starts, progress_tf = TRUE)

## S3 method for class 'declustered_series'
fullEstThreshold(x, lt, n_min, n_max,
  n_starts, progress_tf = TRUE)

## Default S3 method:
fullEstThreshold(x, lt, n_min, n_max, n_starts,
  progress_tf = TRUE)

Arguments

x	An S3 object of class declustered_series or a numeric vector.
lt	(numeric scalar) The length of the time series in units of time (seconds, minutes, hours, etc.).
n_min	(numeric scalar) The minimum number of thresholded observations to include
n_max	(numeric scalar) The maximum number of thresholded observations to include
n_starts	(numeric scalar) An iterative algorithm is used to calculate the MLE, and the optimization algorithm is run n_starts times, feeding in different random starts each time. There is no default because setting it too high results in extended run times, but it should be at least one (obviously).
progress_tf	(logical scalar) Display a progress bar if TRUE, else not.

Details

A sequence of candidate thresholds is generated, and the threshold that minimizes the maximum vertical distance of the points of the W plot (described in fullWplot) to the 45^\circ line is selected. See the vingette for more details.

Value

An S3 object of class thresholded_series with elements $seleted_threshold, $lt, $y, $checked_thresholds, and $w_stats. The element $y is a numeric vector containing the actual observations (NOT differences from the threshold) that exceed the selected threshold. The element $w_stats contains the maximum vertical distance from points to the 45^\circ line of the W plot for the corresponding $checked_threshold.

Methods (by class)

• declustered_series:

• default:

Examples

## Not run: 
complete_series <- -jp1tap1715wind270$value

declustered_obs <- decluster(complete_series)

thresholded_obs <- fullEstThreshold(x = declustered_obs,
                                    lt = 100,
                                    n_min = 10,
                                    n_max = 100,
                                    n_starts = 10)

## End(Not run)

usnistgov/potMax documentation built on May 3, 2019, 2:38 p.m.