xiplot {QRMlib} | R Documentation |
creates a plot showing how the estimate of shape varies with threshold or number of extremes.
xiplot(data, models=30., start=15., end=500., reverse=TRUE, ci=0.95, auto.scale=TRUE, labels=TRUE, table=FALSE, ...)
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 |
For every model "fit.GPD" is called. Evaluation may be slow.
# Shape plot of heavy-tailed Danish fire insurance data: data(danish); xiplot(danish);