Bivariate Threshold Choice Plot
Produces a diagnostic plot to assist with threshold choice for bivariate data.
bvtcplot(x, spectral = FALSE, xlab, ylab, ...)
x |
A matrix or data frame, ordinarily with two columns, which may contain missing values. |
spectral |
If |
ylab, xlab |
Graphics parameters. |
... |
Other arguments to be passed to the plotting function. |
If spectral is FALSE (the default), produces a threshold
choice plot as illustrated in Beirlant et al. (2004). With n
non-missing bivariate observations, the integers
k = 1,...,n-1 are plotted against the values
(k/n)r_(n-k), where r_(n-k)
is the (n-k)th order statistic of the sum of the margins
following empirical transformation to standard Frechet.
A vertical line is drawn at k0, where k0 is the largest
integer for which the y-axis is above the value two. If spectral
is FALSE, the largest k0 data points are used to plot an
estimate of the spectal measure H([0, w]) versus w.
A list is invisibly returned giving k0 and the values used to
produce the plot.
Beirlant, J., Goegebeur, Y., Segers, J. and Teugels, J. L. (2004) Statistics of Extremes: Theory and Applications., Chichester, England: John Wiley and Sons.
## Not run: bvtcplot(lossalae) ## Not run: bvtcplot(lossalae, spectral = TRUE)
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