mrlplot {evd} | R Documentation |
Empirical Mean Residual Life Plot
Description
The empirical mean residual life plot.
Usage
mrlplot(data, tlim, pscale = FALSE, nt = max(100, length(data)), lty =
c(2,1,2), col = 1, conf = 0.95, main = "Mean Residual Life Plot",
xlab = "Threshold", ylab = "Mean Excess", ...)
Arguments
data |
A numeric vector. |
tlim |
A numeric vector of length two, giving the limits for
the thresholds at which the mean residual life plot is
evaluated. If |
pscale |
If |
nt |
The number of thresholds at which the mean residual life plot is evaluated. |
lty , col |
Arguments passed to |
conf |
The (pointwise) confidence coefficient for the plotted confidence intervals. |
main |
Plot title. |
xlab , ylab |
x and y axis labels. |
... |
Other arguments to be passed to |
Details
The empirical mean residual life plot is the locus of points
where are
the
observations that exceed the threshold
.
If the exceedances of a threshold
are generalized Pareto, the empirical mean residual life plot
should be approximately linear for
.
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
See Also
Examples
mrlplot(portpirie)