evir (version 1.7-4)

meplot: Sample Mean Excess Plot

Description

Plots sample mean excesses over increasing thresholds.

Usage

meplot(data, omit = 3, labels = TRUE, …)

Arguments

data

data vector

omit

number of upper plotting points to be omitted

labels

whether or not axes are to be labelled

…

other graphics parameters

Details

An upward trend in plot shows heavy-tailed behaviour. In particular, a straight line with positive gradient above some threshold is a sign of Pareto behaviour in tail. A downward trend shows thin-tailed behaviour whereas a line with zero gradient shows an exponential tail. Because upper plotting points are the average of a handful of extreme excesses, these may be omitted for a prettier plot.

See Also

gpd, qplot

Examples

# NOT RUN {
data(danish)
# }
# NOT RUN {
meplot(danish)
# }
# NOT RUN {
# Sample mean excess plot of heavy-tailed Danish fire insurance data 
# }