texmex (version 1.3)

mrlPlot: Mean residual life plot

Description

Produce a mean residual life plot to aid the identification of a threshold over which to fit a generalized Pareto distribution

Usage

mrlPlot(data, umin = min(data), umax = max(data) - 0.1, conf = 0.95, nint = 100, ...)

Arguments

data

A numeric vector.

umin

The minimum value over which to threshold the data.

umax

The maximum value over which to threshold the data.

conf

The coverage of confidence interval to plot. Defaults to plotting a 95% interval.

nint

The number of points at which to compute the plot.

...

Optional arguments to plot

Value

• NULL

Details

Threshold choice for the fitting of the GPD is guided by the shape of the Mean Residual Life plot. A threshold which is suitably high will have a corresponding mrl plot which is approximately linear in shape above the threshold (up to sampling variation).

References

S. Coles, An Introduction to Statistical Modeling of Extreme Values, Springer, 2001