tcplot: Threshold Choice Plot

Description

Plots of parameter estimates at various thresholds for peaks over threshold modelling, using the Generalized Pareto or Point Process representation.

Usage

tcplot(data, tlim, model = c("gpd","pp"), cmax = FALSE, r = 1,
    ulow = -Inf, rlow = 1, nt = 25, which = 1:npar, conf = 0.95,
    lty = 1, lwd = 1, type = "b", cilty = 1, ask = nb.fig <
    length(which) && dev.interactive(), ...)

Arguments

data

A numeric vector.

tlim

A numeric vector of length two, giving the limits for the thresholds at which the model is fitted.

model

The model; either "gpd" (the default) or "pp", for the Generalized Pareto or Point Process representations respectively.

cmax

Logical; if FALSE (the default), the models are fitted using all exceedences over the thresholds. If TRUE, the models are fitted using cluster maxima, using clusters of exceedences derived from clusters.

r, ulow, rlow

Arguments used for the identification of clusters of exceedences (see clusters). Ignored if cmax is FALSE (the default).

The number of thresholds at which the model is fitted.

which

If a subset of the plots is required, specify a subset of the numbers 1:npar, where npar is the number of parameters, so that npar = 2 when model = "gpd" (the default) and npar = 3

conf

The (pointwise) confidence coefficient for the plotted confidence intervals. Use zero to suppress.

lty, lwd

The line type and width of the line connecting the parameter estimates.

type

The form taken by the line connecting the parameter estimates and the points denoting these estimates. Possible values include "b" (the default) for points joined by lines, "o" for overplotted points and lines, and

cilty

The line type of the lines depicting the confidence intervals.

ask

Logical; if TRUE, the user is asked before each plot.

...

Other arguments to be passed to the model fit function fpot.

Value

A list is invisibly returned. Each component is a matrix with three columns giving parameter estimates and confidence limits.

Details

For each of the nt thresholds a peaks over threshold model is fitted using the function fpot. When model = "gpd" (the default), the maximum likelihood estimates for the shape and the modified scale parameter (modified by subtracting the shape multiplied by the threshold) are plotted against the thresholds. When model = "pp" the maximum likelihood estimates for the location, scale and shape parameters are plotted against the thresholds. (The modified scale parameter in the "gpd" case is equivalent to the scale parameter in the "pp" case.) If the threshold u is a valid threshold to be used for peaks over threshold modelling, the parameter estimates depicted should be approximately constant above u.

Examples

Run this code

data(portpirie)
tlim <- c(3.6, 4.2)
tcplot(portpirie, tlim)
tcplot(portpirie, tlim, nt = 100, lwd = 3, type = "l")
tcplot(portpirie, tlim, model = "pp")

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