mev (version 2.1)

tstab.mrl: Mean residual life plot

Description

Computes mean of sample exceedances over a range of thresholds or for a pre-specified number of largest order statistics, and returns a plot with 95% Wald-based confidence intervals as a function of either the threshold or the number of exceedances. The main purpose is the plotting method, which generates the so-called mean residual life plot. The latter should be approximately linear over the threshold for a generalized Pareto distribution

Usage

tstab.mrl(
  xdat,
  thresh,
  kmin = 10L,
  kmax = length(xdat),
  plot = TRUE,
  level = 0.95,
  xlab = c("thresh", "nexc"),
  type = c("band", "ptwise"),
  ...
)

Value

an invisible list with mean sample exceedances and standard deviation, number of exceedances, threshold

Arguments

xdat

vector of sample observations

thresh

vector of thresholds

kmin

integer giving the minimum number of exceedances; ignored if thresh is provided. Default to 10

kmax

integer giving the maximum number of exceedances; ignored if thresh is provided. Default to sample size.

plot

logical; if TRUE, call the plot method

level

double giving the level of confidence intervals for the plot, default to 0.95

xlab

string indicating whether to use thresholds (thresh) or number of largest order statistics (nexc) for the x-axis

type

string whether to plot pointwise confidence intervals using segments ("ptwise") or using dashed lines ("band")

...

additional arguments, currently ignored

References

Davison, A.C. and R.L. Smith (1990). Models for Exceedances over High Thresholds (with discussion), Journal of the Royal Statistical Society. Series B (Methodological), 52(3), 393--442.

Examples

tstab.mrl(
 xdat = rgp(n = 100, shape = -0.5),
 xlab = "thresh",
 kmax = 50)
tstab.mrl(
 rexp(100),
 thresh = qexp(seq(0, 0.9, by = 0.01)))