thinAndBurn: Process Metropolis output from GPD fitting to discard...
In texmex: Threshold exceedences and multivariate extremes

Description Usage Arguments Value Author(s) See Also Examples

Process observations from Metropolis fitting of GPD models, to thin the output and discard observations from burn-in period.

1 2	## S3 method for class 'bgpd' thinAndBurn(object, burn, thin)

`object`	Object of class 'bgpd' as returned by `gpd` called with `method="simulate"`.
`thin`	`thin` or its reciprocal must be a positive integer. If integer valued, this specifies the frequency of observations from the simulated Markov Chain which will be retained. If specified as a proportion, this is the proportion of values which will be retained. For no thinning use `thin=1`.
`burn`	The number of observations from the simulated Markov Chain to be discarded as burn-in. Must be a non-negative integer, for no burn-in use `burn=0`.

Object of class bgpd. See Value returned by gpd using method = "simulate" for details.

Note that the original chain is not discarded when this function is called: thinAndBurn can be called recursively on the original object with different values of burn and thin without the this object getting progressively smaller!

Harry Southworth, Janet E. Heffernan

gpd

  x <- rnorm(1000)
  mod <- gpd(x, qu=.7, method="sim")
  mod
  par(mfrow=c(3, 2))
  plot(mod)
  mod1 <- thinAndBurn(mod,burn=1000, thin=5)
  plot(mod1)