fitpot function

Fits peaks-over-threshold model of a sample

Fits peaks-over-threshold model of a sample. utf8

fitpot(data, threshold=NA, nextremes=NA, evi=NA)

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).
• evi: extreme value index. In particular, the shape parammeter of a generalized Pareto distribution.

Returns

A data.frame with the following columns:

• eviextreme value index. In particular, the shape parammeter of a generalized Pareto distribution.
• psithe scale parameter of a generalized Pareto distribution.
• thresholda threshold value where peaks-over-threshold is applied.
• probproportion of size of data corresponding to the upper extremes modelled with generalized pareto distribution.

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, cvplot, evicv, ppot, qpot, tdata, thrselect, Tm

Examples

data("nidd.thresh", package = "evir")
fitpot(nidd.thresh)