R: Threshold Choice Plot

tcplot {evd} | R Documentation

## Threshold Choice Plot

### Description

Plots of parameter estimates at various thresholds for peaks over threshold modelling, using the Generalized Pareto or Point Process representation.

### Usage

    tcplot(data, tlim, model = c("gpd","pp"), pscale = FALSE, cmax =
        FALSE, r = 1, ulow = -Inf, rlow = 1, nt = 25, which = 1:npar,
        conf = 0.95, lty = 1, lwd = 1, type = "b", cilty = 1, vci =
        TRUE, xlab, xlim, ylabs, ylims, ask = nb.fig < length(which) &&
        dev.interactive(), ...)

### Arguments

`data` | A numeric vector.
`tlim` | A numeric vector of length two, giving the limits for the thresholds at which the model is fitted.
`model` | The model; either `"gpd"` (the default) or `"pp"`, for the Generalized Pareto or Point Process representations respectively.
`pscale` | If `TRUE`, then the x-axis gives the threshold exceedance probability rather than the threshold itself.
`cmax` | Logical; if `FALSE` (the default), the models are fitted using all exceedences over the thresholds. If `TRUE`, the models are fitted using cluster maxima, using clusters of exceedences derived from `clusters`.
`r, ulow, rlow` | Arguments used for the identification of clusters of exceedences (see `clusters`). Ignored if `cmax` is `FALSE` (the default).
`nt` | The number of thresholds at which the model is fitted.
`which` | If a subset of the plots is required, specify a subset of the numbers `1:npar`, where `npar` is the number of parameters, so that `npar = 2` when `model = "gpd"` (the default) and `npar = 3` when `model = "pp"`.
`conf` | The (pointwise) confidence coefficient for the plotted confidence intervals. Use zero to suppress.
`lty, lwd` | The line type and width of the line connecting the parameter estimates.
`type` | The form taken by the line connecting the parameter estimates and the points denoting these estimates. Possible values include `"b"` (the default) for points joined by lines, `"o"` for overplotted points and lines, and `"l"` for an unbroken line with no points.
`cilty` | The line type of the lines depicting the confidence intervals.
`vci` | If `TRUE` (the default), confidence intervals are plotted using vertical lines.
`xlab, xlim` | Label and limits for the x-axis; if given, these arguments apply to every plot.
`ylabs, ylims` | A vector of y-axis labels and a matrix of y-axis limits. If given, `ylabs` should have the same length as `which`, and `ylims` should have two columns and `length(which)` rows. If the length of `which` is one, then `ylims` can be a vector of length two.
`ask` | Logical; if `TRUE`, the user is asked before each plot.
`...` | Other arguments to be passed to the model fit function `fpot`.

### Details

For each of the `nt` thresholds a peaks over threshold model is fitted using the function `fpot`. When `model = "gpd"` (the default), the maximum likelihood estimates for the shape and the modified scale parameter (modified by subtracting the shape multiplied by the threshold) are plotted against the thresholds. When `model = "pp"` the maximum likelihood estimates for the location, scale and shape parameters are plotted against the thresholds. (The modified scale parameter in the `"gpd"` case is equivalent to the scale parameter in the `"pp"` case.) If the threshold `u` is a valid threshold to be used for peaks over threshold modelling, the parameter estimates depicted should be approximately constant above `u`.

### Value

A list is invisibly returned. Each component is a matrix with three columns giving parameter estimates and confidence limits.

### Author(s)

Stuart Coles and Alec Stephenson

### See Also

`fpot`, `mrlplot`, `clusters`

### Examples

    tlim <- c(3.6, 4.2)
    ## Not run: tcplot(portpirie, tlim)
    ## Not run: tcplot(portpirie, tlim, nt = 100, lwd = 3, type = "l")
    ## Not run: tcplot(portpirie, tlim, model = "pp")

[Package evd version 2.3-4 Index]