mrlplot {POT} | R Documentation |
Threshold Selection: The Empirical Mean Residual Life Plot
Description
The empirical mean residual life plot.
Usage
mrlplot(data, u.range, main, xlab, ylab, nt = max(100, length(data)),
lty = rep(1,3), col = c('grey', 'black', 'grey'), conf = 0.95, lwd = c(1,
1.5, 1), ...)
Arguments
data |
A numeric vector. |
u.range |
A numeric vector of length two, giving the limits for
the thresholds at which the mean residual life plot is
evaluated. If |
main |
Plot title. |
xlab , ylab |
x and y axis labels. |
nt |
The number of thresholds at which the mean residual life plot is evaluated. |
lty , col , lwd |
Arguments passed to |
conf |
The (pointwise) confidence coefficient for the plotted confidence intervals. |
... |
Other arguments to be passed to |
Details
The empirical mean residual life plot is the locus of points
\left(u,\frac{1}{n_u} \sum\nolimits_{i=1}^{n_u}
(x_{(i)} - u) \right)
where x_{(1)}, \dots, x_{(n_u)}
are
the n_u
observations that exceed the threshold u
. If the
exceedances of a threshold u_0
are generalized Pareto, the
empirical mean residual life plot should be approximately linear for
u > u_0
.
The confidence intervals within the plot are symmetric intervals based on the approximate normality of sample means.
Value
A list with components x
and y
is invisibly returned.
The components contain those objects that were passed to the formal
arguments x
and y
of matplot
in order to create
the mean residual life plot.
Author(s)
Stuart Coles and Alec Stephenson
References
Coles, S. (2001) An Introduction to Statistical Modelling of Extreme Values. Springer Series in Statistics. London.
Embrechts, P., Kl\"uppelberg, C., and Mikosch, T. (1997) Modelling Extremal Events for Insurance and Finance.
See Also
Examples
data(ardieres)
ardieres <- clust(ardieres, 4, 10 / 365, clust.max = TRUE)
flows <- ardieres[, "obs"]
mrlplot(flows)