mrlPlot: Mean residual life plot

In texmex: Threshold exceedences and multivariate extremes

Description

Produce a mean residual life plot to aid the identification of a threshold over which to fit a generalized Pareto distribution

Usage

mrlPlot(data, umin = min(data), umax = max(data) - 0.1, conf = 0.95, nint = 100, ...)

Arguments

data	A numeric vector.
umin	The minimum value over which to threshold the data.
umax	The maximum value over which to threshold the data.
conf	The coverage of confidence interval to plot. Defaults to plotting a 95% interval.
nint	The number of points at which to compute the plot.
...	Optional arguments to plot

Details

Threshold choice for the fitting of the GPD is guided by the shape of the Mean Residual Life plot. A threshold which is suitably high will have a corresponding mrl plot which is approximately linear in shape above the threshold (up to sampling variation).

Value

NULL

Note

The function was originally written by Janet E. Heffernan and appears in the ismev package. This version modified by Harry Southworth to allow more control over the appearance of the plot.

Author(s)

Janet E. Heffernan, Harry Southworth

References

S. Coles, An Introduction to Statistical Modeling of Extreme Values, Springer, 2001

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