texmex (version 1.1)

mexRangeFit: Estimate dependence parameters in a conditional multivariate extreme values model over a range of thresholds.

Description

Diagnostic tool to aid the choice of threshold to be used for the estimation of the dependence parameters in the conditional multivariate extreme values model of Heffernan and Tawn, 2004.

Usage

mexRangeFit(x, which, quantiles = seq(0.5, 0.9, length = 9), nboot = 10, col = "red", bootcol = "grey", ...)

Arguments

x

An object of class migpd.

which

The variable on which to condition.

quantiles

A numeric vector specifying the quantiles of the marginal distribution of the conditioning variable at which to fit the dependence model.

nboot

The number of bootstrap runs to perform at each threshold. Defaults to nboot=10.

col

Plotting colour for the point estimates of the dependence parameters.

bootcol

Plotting colour for the bootstrap estimates of the dependence parameters.

...

Further graphical parameters may be passed, which will be used for plotting.

Value

• NULL.

Details

Dependence model parameters are estimated using a range of threhold values. The sampling variability of these estimates is characterised using the bootstrap. Point estimates and bootstrap estimates are finally plotted over the range of thresholds. Choice of threshold is made such that the point estimates at the chosen threshold and beyond are constant, up to sampling variation.

References

J. E. Heffernan and J. A. Tawn, A conditional approach for multivariate extreme values, Journal of the Royal Statistical society B, 66, 497 -- 546, 2004

See Also

mexDependence, bootmex~~~

Examples

w <- migpd(winter, mqu=.7)
  w
  par(mfrow=c(4,2))
  mexRangeFit(w,which=1,main="Winter data, Heffernan and Tawn 2004",cex=0.5)