shape.plot: ESTIMATE OF XI AS FUNCTION OF THE THRESHOLD

In Rsafd: Statistical Analysis of Financial Data in R

Description

Plot of estimates of the shape parameter of one tail of the data.

Usage

         shape.plot(data, tail="upper", method = "ml", from = 0.5, to = 0.98, nint = 30)

Arguments

data	A numeric vector of values at which the cdf is computed
tail	Character string which can be either "upper" or "lower" depending upon the choice of the upper or lower part of the data
method	Character string which can be either "ml" or "lmom" depending upon the choice of the method used to estimate the shape parameter
from	Percentage of the data values left as not belonging to the tail
to	Maximum percentage of the data values excluded from the tail
nint	Integer giving the number of thresholds and hence the number of estimates of the shape parameter

Value

Plot of the estimates of the shape parameter as function of the threshold (negative of the threshold when codetail="lower"). The percentages of points exceeding the threshold are given on the upper part of the plot.

Note

Based on Mc Neil's original shape function.

Author(s)

Rene Carmona, [e-mail]

See Also

gpd.tail

Examples

## Not run: 
data("BCofLRet")
NZ <- (BCofLRet !=0)
BLRet <- BCofLRet[NZ]

shape.plot(BLRet)
shape.plot(BLRet,tail="lower")

## End(Not run)

Rsafd documentation built on May 2, 2019, 5:20 p.m.