plotFittedGPDvsEmpiricalExcesses {QRMlib} | R Documentation |
Build a graph which plots the GPD fit of excesses over a threshold u and the corresponding empirical distribution function for observed excesses.
plotFittedGPDvsEmpiricalExcesses(data, threshold = NA, nextremes = NA)
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) |
See graphs 7.4(c) and 7.5(c) in QRM, pp. 281-2.
a plot showing empirical cdf of excesses vs points fitted to the estimated GPD for excesses
fit.GPD
,
plotTail
,
MEplot
,
xiplot
data(danish); plotFittedGPDvsEmpiricalExcesses(danish@Data, nextremes=109); plotFittedGPDvsEmpiricalExcesses(danish@Data,threshold=10);