MEplot {QRMlib}R Documentation

Sample Mean Excess Plot

Description

Plots sample mean excesses over increasing thresholds.

Usage

MEplot(data, omit = 3, labels=TRUE, ...)

Arguments

data data vector or Data slot from a time series (e.g tS@Data); do not pass entire timeSeries
omit number of upper plotting points to be omitted
labels whether or not axes are to be labelled
... further parameters of MEplot function

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

fit.GPD

Examples

# Sample mean excess plot of heavy-tailed Danish fire insurance data
data(danish);
MEplot(data=danish@Data); 

[Package QRMlib version 1.4.4 Index]