Plots of parameter estimates at various thresholds for peaks over threshold modelling, using the Generalized Pareto or Point Process representation.
tcplot(data, u.range, cmax = FALSE, r = 1,
ulow = -Inf, rlow = 1, nt = 25, which = 1:npar, conf = 0.95,
lty = 1, lwd = 1, type = "b", cilty = 1, ask = nb.fig <
length(which) && dev.interactive(), ...)
A list is invisibly returned. Each component is a matrix with three columns giving parameter estimates and confidence limits.
A numeric vector.
A numeric vector of length two, giving the limits for the thresholds at which the model is fitted.
Logical; if FALSE
(the default), the models are
fitted using all exceedances over the thresholds. If TRUE
,
the models are fitted using cluster maxima.
Arguments used for the identification of clusters
of exceedances. Ignored if cmax
is FALSE
(the
default).
The number of thresholds at which the model is fitted.
If a subset of the plots is required, specify a
subset of the numbers 1:npar
, where npar
is
the number of parameters.
The (pointwise) confidence coefficient for the plotted confidence intervals. Use zero to suppress.
The line type and width of the line connecting the parameter estimates.
The form taken by the line connecting the parameter
estimates and the points denoting these estimates. Possible
values include "b"
(the default) for points joined by
lines, "o"
for over plotted points and lines, and
"l"
for an unbroken line with no points.
The line type of the lines depicting the confidence intervals.
Logical; if TRUE
, the user is asked before
each plot.
Other arguments to be passed to the model fit
function fitgpd
.
Stuart Coles and Alec Stephenson
For each of the nt
thresholds a peaks over threshold model
is fitted using the function fitgpd
. The maximum likelihood
estimates for the shape and the modified scale parameter (modified by
subtracting the shape multiplied by the threshold) are plotted against
the thresholds. If the threshold u
is a valid threshold to be
used for peaks over threshold modelling, the parameter estimates
depicted should be approximately constant above u
.
Coles, S. (2001) An Introduction to Statistical Modelling of Extreme Values. Springer Series in Statistics. London.
fitgpd
, mrlplot
data(ardieres)
ardieres <- clust(ardieres, 4, 10 / 365, clust.max = TRUE)
flows <- ardieres[, "obs"]
par(mfrow=c(1,2))
tcplot(flows, u.range = c(0, 15) )
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