plotFittedGPDvsEmpiricalExcesses {QRMlib}R Documentation

Graphically Compare Empirical Distribution of Excesses and GPD Fit

Description

Build a graph which plots the GPD fit of excesses over a threshold u and the corresponding empirical distribution function for observed excesses.

Usage

plotFittedGPDvsEmpiricalExcesses(data, threshold = NA, nextremes = NA)

Arguments

data data vector or times series; to be safe, pass data slot of timeSeries
threshold a threshold value (either this or "nextremes" must be given but not both)
nextremes the number of upper extremes to be used (either this or "threshold" must be given but not both)

Details

See graphs 7.4(c) and 7.5(c) in QRM, pp. 281-2.

Value

a plot showing empirical cdf of excesses vs points fitted to the estimated GPD for excesses

See Also

fit.GPD, plotTail, MEplot, xiplot

Examples

data(danish);
plotFittedGPDvsEmpiricalExcesses(danish@Data, nextremes=109);
plotFittedGPDvsEmpiricalExcesses(danish@Data,threshold=10);

[Package QRMlib version 1.4.4 Index]