meplot function

Sample Mean Excess Plot

Plots sample mean excesses over increasing thresholds.

meplot(data, omit = 3, labels = TRUE, ...)

Arguments

• data: data vector
• omit: number of upper plotting points to be omitted
• labels: whether or not axes are to be labelled
• ...: other graphics parameters

Details

An upward trend in plot shows heavy-tailed behaviour. In particular, a straight line with positive gradient above some threshold is a sign of Pareto behaviour in tail. A downward trend shows thin-tailed behaviour whereas a line with zero gradient shows an exponential tail. Because upper plotting points are the average of a handful of extreme excesses, these may be omitted for a prettier plot.

See Also

gpd, qplot

Examples

## Not run: data(danish)
## Not run: meplot(danish)
# Sample mean excess plot of heavy-tailed Danish fire insurance data