evir (version 1.7-4)

interpret.gpdbiv: Interpret Results of Bivariate GPD Fit

Description

Interprets the results of a bivariate GPD model fitted using the bivariate POT method.

Usage

interpret.gpdbiv(out, x, y)

Arguments

out

a gpdbiv object

x

a scalar value greater than first threshold

y

a scalar value greater than second threshold

Value

A vector of probabilities is invisibly returned, in printed order.

Side Effects

A simple interpretation of the fit in terms of exceedance probabilities for the point (x,y) is printed.

Details

First marginal probabilities of exceeding the points x and y are calculated, and then joint and conditional probabilities.

See Also

gpdbiv, plot.gpdbiv

Examples

# NOT RUN {
data(bmw) ; data(siemens)
out <- gpdbiv(-bmw, -siemens, ne1 = 100, ne2 = 100) 
interpret.gpdbiv(out, 0.05, 0.05) 
# probabilities of 5% falls in BMW and Siemens stock prices 
# }