R: Empirical Mean Residual Life Plot

mrlplot {evd} | R Documentation

## Empirical Mean Residual Life Plot

### Description

The empirical mean residual life plot.

### Usage

    mrlplot(data, tlim, pscale = FALSE, nt = max(100, length(data)), lty =
        c(2,1,2), col = 1, conf = 0.95, main = "Mean Residual Life Plot",
        xlab = "Threshold", ylab = "Mean Excess", ...)

### Arguments

`data` | A numeric vector.
`tlim` | A numeric vector of length two, giving the limits for the thresholds at which the mean residual life plot is evaluated. If `tlim` is not given, sensible defaults are used.
`pscale` | If `TRUE`, then the x-axis gives the threshold exceedance probability rather than the threshold itself.
`nt` | The number of thresholds at which the mean residual life plot is evaluated.
`lty, col` | Arguments passed to `matplot`. The first and last elements of `lty` correspond to the lower and upper confidence limits respectively. Use zero to supress.
`conf` | The (pointwise) confidence coefficient for the plotted confidence intervals.
`main` | Plot title.
`xlab, ylab` | x and y axis labels.
`...` | Other arguments to be passed to `matplot`.

### Details

The empirical mean residual life plot is the locus of points

{u,1/n_u ∑_{i=1}^{n_u} (x(i) - u)}

where x(1), …, x(n_u) are the n_u observations that exceed the threshold u. If the exceedances of a threshold u0 are generalized Pareto, the empirical mean residual life plot should be approximately linear for u > u0.

The confidence intervals within the plot are symmetric intervals based on the approximate normality of sample means.

### Value

A list with components `x` and `y` is invisibly returned. The components contain those objects that were passed to the formal arguments `x` and `y` of `matplot` in order to create the mean residual life plot.

### Author(s)

Stuart Coles and Alec Stephenson

### See Also

`fpot`, `matplot`, `tcplot`

### Examples

    mrlplot(portpirie)

[Package evd version 2.3-5 Index]