choosethres {extremeIndex} | R Documentation |
Function for heuristically choosing the domain where extreme value theory can be applied
Description
Function for heuristically choosing the domain where extreme value theory can be applied
Usage
choosethres(data, thresh, guess = c(1, 0.1), plots = 1:3, R = 200, ncpus = 1)
Arguments
data |
a numeric vector containing the observation used for verification |
thresh |
vector of thresholds to try |
guess |
starting values for GPD's sigma and xi (0<xi<1) |
plots |
which parameter plots do you want |
R |
number of bootstrap estimates for confidence intervals |
ncpus |
if you want to make bootstrap on several cores |
Value
three plots summarizing the stability of the parameters to threshold. The starting threshold admits kappa=1 and its confidence interval ; according Papastathopoulos & Tawn (2013)
a list with thresholds used, GP parameters and CIs, optimal threshold and xi.
[Package extremeIndex version 0.0.3 Index]