Description Usage Arguments Details Value Methods (by class) Examples
Plot of W-statistics versus standard exponential quantiles for
the Gumbel like intensity function described in gumbelMLE
1 2 3 4 5 6 7 | gumbelWPlot(x, tf_plot, BW, details, ...)
## S3 method for class 'gumbel_pot_fit'
gumbelWPlot(x, tf_plot, BW, details, ...)
## Default S3 method:
gumbelWPlot(x, y, thresh, tf_plot, BW, details, ...)
|
x |
An S3 object of type |
tf_plot |
(logical scalar) Create the plot if TRUE, else not. |
BW |
(logical scalar) The plot is created in black and white if TRUE, else not |
details |
(logical scalar) Should details of the calculation be returned
as a |
y |
(numeric vector) The observations that exceed the threshold, NOT the excesses or differences, but the actual observations |
This is the W plot from Chapter 1 of "Extreme Values in Finance, Telecomunications, and the Environment," but modified by taking the limit of the formula for W as the tail length parameter goes to zero
W = \frac{y}{σ}
where y is the excess of (difference from) the threshold.
If details is TRUE, a data.frame
with the details of the
calculation, else invisibly return the maximum vertical distance from the
points of the plot to the 45^\circ line
gumbel_pot_fit
:
default
:
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 | ## Not run:
complete_series <- -jp1tap1715wind270$value
declustered_obs <- decluster(complete_series)
thresholded_obs <- gumbelEstThreshold(x = declustered_obs,
lt = 100,
n_min = 10,
n_max = 100)
gumbel_pot_fit <- gumbelMLE(x = thresholded_obs,
hessian_tf = TRUE)
gumbelWPlot(x = gumbel_pot_fit, tf_plot = TRUE, BW = FALSE, details = FALSE)
## End(Not run)
|
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