automrl

This function implements the automated proposal from
Section 2.2 of Langousis et al. (2016)
for mean residual life plots. It returns the threshold
that minimize the weighted mean square error and
moment estimators for the scale and shape parameter
based on weighted least squares.

Various tools for the analysis of univariate, multivariate and functional extremes. Exact simulation from max-stable processes [Dombry, Engelke and Oesting (2016) <doi:10.1093/biomet/asw008>, R-Pareto processes for various parametric models, including Brown-Resnick (Wadsworth and Tawn, 2014, <doi:10.1093/biomet/ast042>) and Extremal Student (Thibaud and Opitz, 2015, <doi:10.1093/biomet/asv045>). Threshold selection methods, including Wadsworth (2016) <doi:10.1080/00401706.2014.998345>, and Northrop and Coleman (2014) <doi:10.1007/s10687-014-0183-z>. Multivariate extreme diagnostics. Estimation and likelihoods for univariate extremes, e.g., Coles (2001) <doi:10.1007/978-1-4471-3675-0>.

Leo Belzile

Modelling of Extreme Values

Jennifer L. Wadsworth

Paul J. Northrop

Scott D. Grimshaw

Jin Zhang

Michael A. Stephens

Art B. Owen

Raphael Huser

automrl function

<dl><dt>xdat</dt>
<dd>[numeric] vector of observations</dd>
<dt>kmax</dt>
<dd>[integer] maximum number of order statistics</dd>
<dt>thresh</dt>
<dd>[numeric] vector of thresholds; if missing, uses all order statistics from the 20th largest until <code>kmax</code> as candidates</dd>
<dt>plot</dt>
<dd>[logical] if <code>TRUE</code> (default), return a plot of the mean residual life plot with the fitted slope
and the chosen threshold</dd>
<dt>...</dt>
<dd>additional arguments, currently ignored</dd></dl>

Arguments

Automated mean residual life plots — automrl

<dl>

<dt>xdat</dt>
<dd>[numeric] vector of observations</dd>


<dt>kmax</dt>
<dd>[integer] maximum number of order statistics</dd>


<dt>thresh</dt>
<dd>[numeric] vector of thresholds; if missing, uses all order statistics from the 20th largest until <code>kmax</code> as candidates</dd>


<dt>plot</dt>
<dd>[logical] if <code>TRUE</code> (default), return a plot of the mean residual life plot with the fitted slope
and the chosen threshold</dd>


<dt>...</dt>
<dd>additional arguments, currently ignored</dd>

</dl>

automrl: Automated mean residual life plots

Description

Usage

Value

Arguments

Details

References