mexRangeFit: Estimate dependence parameters in a conditional multivariate...

In texmex: Threshold exceedences and multivariate extremes

Description

Diagnostic tool to aid the choice of threshold to be used for the estimation of the dependence parameters in the conditional multivariate extreme values model of Heffernan and Tawn, 2004.

Usage

mexRangeFit(x, which, quantiles = seq(0.5, 0.9, length = 9), start=c(.01, .01), R = 10, nPass=3, trace=10, col = 2, bootcol = "grey", margins = "laplace", constrain = TRUE, v = 10, addNexcesses = TRUE, ...)

Arguments

x	An object of class mex or migpd.
which	The variable on which to condition.
quantiles	A numeric vector specifying the quantiles of the marginal distribution of the conditioning variable at which to fit the dependence model.
start	See documentation for this argument in mexDependence.
R	The number of bootstrap runs to perform at each threshold. Defaults to R=10.
nPass	Argument passed to function bootmex.
trace	Argument passed to function bootmex.
col	Plotting colour for the point estimates of the dependence parameters.
bootcol	Plotting colour for the bootstrap estimates of the dependence parameters.
margins	Argument passed to function mexDependence.
constrain	Argument passed to function mexDependence.
v	Argument passed to function mexDependence.
addNexcesses	Logical, whether to annotate the top axis with the number of excesses corresponding to each threshold.
...	Further graphical parameters may be passed, which will be used for plotting.

Details

Dependence model parameters are estimated using a range of threshold values. The sampling variability of these estimates is characterised using the bootstrap. Point estimates and bootstrap estimates are finally plotted over the range of thresholds. Choice of threshold should be made such that the point estimates at the chosen threshold and beyond are constant, up to sampling variation.

Value

NULL.

Author(s)

Harry Southworth, Janet E. Heffernan

References

J. E. Heffernan and J. A. Tawn, A conditional approach for multivariate extreme values, Journal of the Royal Statistical society B, 66, 497 – 546, 2004

See Also

mexDependence, bootmex

Examples

  w <- migpd(winter, mqu=.7)
  w
  par(mfrow=c(4,2))
  mexRangeFit(w,which=1,main="Winter data, Heffernan and Tawn 2004",cex=0.5)
  

texmex documentation built on May 2, 2019, 4:56 p.m.