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

1 |

`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 |

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).

NULL

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.

Janet E. Heffernan, Harry Southworth

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

Questions? Problems? Suggestions? Tweet to @rdrrHQ or email at ian@mutexlabs.com.

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