evd: mrlplot – R documentation

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evd

mrlplot

Empirical Mean Residual Life Plot

Description

The empirical mean residual life plot.

Usage

mrlplot(data, tlim, pscale = FALSE, nt = max(100, length(data)), lty =
    c(2,1,2), col = 1, conf = 0.95, main = "Mean Residual Life Plot",
    xlab = "Threshold", ylab = "Mean Excess", ...)

Arguments

`data`	A numeric vector.
`tlim`	A numeric vector of length two, giving the limits for the thresholds at which the mean residual life plot is evaluated. If `tlim` is not given, sensible defaults are used.
`pscale`	If `TRUE`, then the x-axis gives the threshold exceedance probability rather than the threshold itself.
`nt`	The number of thresholds at which the mean residual life plot is evaluated.
`lty, col`	Arguments passed to `matplot`. The first and last elements of `lty` correspond to the lower and upper confidence limits respectively. Use zero to supress.
`conf`	The (pointwise) confidence coefficient for the plotted confidence intervals.
`main`	Plot title.
`xlab, ylab`	x and y axis labels.
`...`	Other arguments to be passed to `matplot`.

Details

The empirical mean residual life plot is the locus of points

{u,1/n_u ∑_{i=1}^{n_u} (x(i) - u)}

where x(1), …, x(n_u) are the n_u observations that exceed the threshold u. If the exceedances of a threshold u0 are generalized Pareto, the empirical mean residual life plot should be approximately linear for u > u0.

The confidence intervals within the plot are symmetric intervals based on the approximate normality of sample means.

Value

A list with components x and y is invisibly returned. The components contain those objects that were passed to the formal arguments x and y of matplot in order to create the mean residual life plot.

Author(s)

Stuart Coles and Alec Stephenson

Examples

mrlplot(portpirie)

evd

Functions for Extreme Value Distributions

v2.3-3

GPL-3

Authors

Alec Stephenson. Function fbvpot by Chris Ferro.

Initial release

2018-04-25