xiplot {QRMlib}R Documentation

GPD Shape Parameter Plot

Description

creates a plot showing how the estimate of shape varies with threshold or number of extremes.

Usage

xiplot(data, models=30., start=15., end=500., reverse=TRUE, 
ci=0.95, auto.scale=TRUE, labels=TRUE, table=FALSE, ...)

Arguments

data vector or time series of data
models number of consecutive gpd models to be fitted; i.e. the number of different thresholds at which to re-estimate xi; this many xi estimates will be plotted
start lowest number of exceedances to be considered
end maximum number of exceedances to be considered
reverse should plot be by increasing threshold (TRUE) or number of extremes (FALSE)
ci probability for asymptotic confidence band; for no confidence band set to FALSE
auto.scale whether or not plot should be automatically scaled; if not, xlim and ylim graphical parameters may be entered
labels whether or not axes should be labelled; default is TRUE
table should a table of results be printed; default is FALSE
... further parameters of xiplot function

Details

For every model "fit.GPD" is called. Evaluation may be slow.

See Also

fit.GPD, MEplot

Examples

# Shape plot of heavy-tailed Danish fire insurance data:
data(danish);
xiplot(danish); 

[Package QRMlib version 1.4.4 Index]