qqgpd {tea}

QQ-Plot against the generalized Pareto distribution for given number of exceedances

Description

Plots the empirical observations above a given threshold against the theoretical quantiles of a generalized Pareto distribution.

Usage

qqgpd(data, nextremes, scale, shape)

Arguments

data

vector of sample data

nextremes

number of exceedances

scale

scale parameter of GPD

shape

shape parameter of GPD

Details

If the fitted GPD model provides a reasonable approximation of the underlying sample data the empirical and theoretical quantiles should coincide. So plotting them against each other should result in a straight line. Deviations from that line speak for a bad model fit and against a GPD assumption.

Value

The straight red line gives the line of agreement. The dashed lines are simulated 95 percent confidence intervals. Therefor the fitted GPD model is simulated 1000 times using Monte Carlo. The sample size of each simulation equals the number of exceedances.

Examples

data=rexp(1000) #GPD with scale=1, shape=0
qqgpd(data,1000,1,0)