thrselect function

Threshold selection algorithm

Threshold selection algorithm. utf8

thrselect(data, threshold=NA, nextremes=NA, omit=16, evi=NA, m=10, nsim=100, 
          conf.level=0.90, oprint=TRUE)

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.
• m: number of thresholds to do multiplicial test.
• nsim: number of simulations.
• conf.level: confidence level of the interval.
• oprint: logical. If TRUE (default), the single solution is printed. In any case, the full solution is the output of the function.

Returns

A list including two data.frame (solution and options). Each of the data.frame contains the following columns:

• mnumber of thresholds for testing tail index.
• nextremesnumber of thresholds for testing tail index.
• thresholdthe threshold value
• rcvresidual coefficient of variation for selected threshold.
• cvoptoptimal coefficient of variation for the tail.
• evithe corresponding tail index for optimal coefficient of variation if evi parameter is NA.
• tmsthe statistic of the tail index test.
• pvaluep-value associated to tms.

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, fitpot, ppot, qpot, tdata, Tm

Examples

data("nidd.thresh", package = "evir")
thrselect(nidd.thresh, nsim=500)