The empirical mean residual life plot.
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", ...)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.
A numeric vector.
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.
If TRUE, then the x-axis gives the threshold
exceedance probability rather than the threshold itself.
The number of thresholds at which the mean residual life plot is evaluated.
Arguments passed to matplot. The first
and last elements of lty correspond to the lower and
upper confidence limits respectively. Use zero to supress.
The (pointwise) confidence coefficient for the plotted confidence intervals.
Plot title.
x and y axis labels.
Other arguments to be passed to matplot.
Stuart Coles and Alec Stephenson
The empirical mean residual life plot is the locus of points $$\left(u,\frac{1}{n_u} \sum\nolimits_{i=1}^{n_u} (x_{(i)} - u) \right)$$ where \(x_{(1)}, \dots, x_{(n_u)}\) are the \(n_u\) observations that exceed the threshold \(u\). If the exceedances of a threshold \(u_0\) are generalized Pareto, the empirical mean residual life plot should be approximately linear for \(u > u_0\).
The confidence intervals within the plot are symmetric intervals based on the approximate normality of sample means.
fpot, matplot,
tcplot