cvplot function

Exploratory empirical residual coefficient of variation

Exploratory empirical residual coefficient of variation for extreme value analysis. utf8

cvplot(data, threshold = NA, nextremes = NA, omit=4, evi=0, main="CVplot", 
       conf.level=0.90, xlab="Excluded sample size", 
       ylab="Coefficient of variation", col="blue", ...)

Arguments

• data: a numeric vector.
• 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).
• omit: the minimum required number of upper extremes for computing residual statistics.
• evi: extreme value index. In particular, the shape parammeter of a generalized Pareto distribution.
• main: an overall title for the plot.
• conf.level: confidence level of the interval (defaults to 0.90).
• xlab: horizontal axis label. Defaults to Excluded sample size.
• ylab: vertical axis label. Defaults to Coefficient of variation.
• col: plot color. Defaults to blue.
• ...: Usual graphic parameters.

Returns

Plot of the empirical residual CV and confidence intervals.

References

del Castillo, J. and Padilla, M. (2016). Modeling extreme values by the residual coefficient of variation. SORT Statist. Oper. Res. Trans. 40 (2), 303-320.

del Castillo, J. and Serra, I. (2015). Likelihood inference for Generalized Pareto Distribution. Computational Statistics and Data Analysis, 83 , 116-128.

del Castillo, J., Daoudi, J. and Lockhart, R. (2014). Methods to Distinguish Between Polynomial and Exponential Tails. Scandinavian Journal of Statistics, 41 , 382-393.

Author(s)

Joan del Castillo, David Moriña Soler and Isabel Serra

See Also

ercv-package, cievi, ccdfplot, cvevi, evicv, fitpot, ppot, qpot, tdata, thrselect, Tm

Examples

data("moby", package = "poweRlaw")
cvplot(moby, main="MobyDick")

data(iFFT)
cvplot(iFFT, threshold=median(iFFT), main="iFFT")