mrlplot: Empirical Mean Residual Life Plot

Description

The empirical mean residual life plot.

Usage

mrlplot(data, tlim, nt = max(100, length(data)), lty = c(2,1,2),
    col = 1, conf = 0.95, main = "Mean Residual Life Plot", xlab =
    "Theshold", 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 tlim is not given, sensible defaults are used.

The number of thresholds at which the mean residual life plot is evaluated.

lty, col

Arguments passed to matplot. The first and last elements of lty correspond to the lower and upper confidence limits respectively. Use zero to supress.

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 matplot.

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.

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.

Examples

Run this code

data(portpirie)
mrlplot(portpirie)

Run the code above in your browser using DataCamp Workspace