MEplot {QRMlib} | R Documentation |
Plots sample mean excesses over increasing thresholds.
MEplot(data, omit = 3, labels=TRUE, ...)
data |
data vector or time series |
omit |
number of upper plotting points to be omitted |
labels |
whether or not axes are to be labelled |
... |
further parameters of MEplot function |
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.
# Sample mean excess plot of heavy-tailed Danish fire insurance data data(danish); MEplot(danish);