evd (version 1.2-3)

bvcpp: A Conditional P-P Plot for a Bivariate evd Object

Description

A P-P plot for the condition distribution function of a bivariate evd object.

Usage

bvcpp(x, mar = 2, ci = TRUE, main = "Conditional Probability Plot", 
    xlab = "Empirical", ylab = "Model", ...)

Arguments

x

An object of class "bvevd".

mar

The margin that is conditioned on; one (first) or two (second, the default).

ci

Logical; if TRUE (the default), plot simulated 95% confidence intervals.

main

Title of plot.

xlab,ylab

Labels for x and y axes.

...

Other plot parameters.

Details

Let $G(.|.)$ be the conditional distribution of the first margin given the second, under the fitted model. Let $z_1,\ldots,z_m$ be the data used in the fitted model, where $z_j = (z_{1j}, z_{2j})$ for $j = 1,\ldots,m$. The conditional P-P plot with $\code{mar} = 2$ constists of the points $${(p_i, c_i), i = 1,\ldots,m}$$ where $p_1,\ldots,p_m$ are plotting points defined by ppoints and $c_i$ is the $i$th largest value from the sample ${G(z_{j1}|z_{j2}), j = 1,\ldots,m}.$ When $\code{mar} = 1$ the margins are reversed, so that $G(.|.)$ is the conditional distribution of the second margin given the first. For non-stationary models the data are transformed to stationarity. The plot then corresponds to the distribution obtained when all covariates are zero.

See Also

bvdens, bvdp, plot.bvevd

Examples

bvdata <- rbvlog(100, dep = 0.6)
M1 <- fbvlog(bvdata)
bvcpp(M1)