interpret.gpdbiv: Interpret Results of Bivariate GPD Fit
In evir: Extreme Values in R

Description Usage Arguments Details Value Side Effects See Also Examples

Interprets the results of a bivariate GPD model fitted using the bivariate POT method.

1	interpret.gpdbiv(out, x, y)

`out`	a `gpdbiv` object
`x`	a scalar value greater than first threshold
`y`	a scalar value greater than second threshold

First marginal probabilities of exceeding the points x and y are calculated, and then joint and conditional probabilities.

A vector of probabilities is invisibly returned, in printed order.

A simple interpretation of the fit in terms of exceedance probabilities for the point (x,y) is printed.

gpdbiv, plot.gpdbiv

data(bmw) ; data(siemens)
out <- gpdbiv(-bmw, -siemens, ne1 = 100, ne2 = 100) 
interpret.gpdbiv(out, 0.05, 0.05) 
# probabilities of 5% falls in BMW and Siemens stock prices

Thresholds: 0.0342151 0.02688724 
Extreme levels of interest (x,y): 0.05 0.05 
P(X exceeds x) 0.005060484 
P(Y exceeds y) 0.00213182 
P(X exceeds x AND Y exceeds y) 0.001316135 
P(X exceeds x) * P(Y exceeds y) 1.078804e-05 
P(Y exceeds y GIVEN X exceeds x) 0.2600809 
P(X exceeds x GIVEN Y exceeds y) 0.6173763