set.seed(0) x = rnorm(1000) # Assume bulk model parameterisation by default fit = fnormgpd(x) xx = seq(-5, 5, 0.01) hist(x, breaks = 100, freq = FALSE) lines(xx, dnormgpd(xx, fit$nmean, fit$nsd, fit$u, fit$sigma, fit$xi), col="blue",lwd=2) abline(v = fit$u, col="blue") # Change to parameterised approach fit2 = fnormgpd(x, phiu=FALSE) lines(xx, dnormgpd(xx, fit2$nmean, fit2$nsd, fit2$u, fit2$sigma, fit2$xi, fit2$phiu), col="red",lwd=2) abline(v = fit2$u, col="red") # Add continuity constraint fit3 = fnormgpdcon(x) lines(xx, dnormgpdcon(xx, fit3$nmean, fit3$nsd, fit3$u, fit3$xi, fit3$phiu), col="green",lwd=2) abline(v = fit3$u, col="green") help(evmix) # Nonparametric bulk fit fit4 = fkdengpd(x) lines(xx, dkdengpd(xx, x, fit4$lambda, fit4$u, fit4$sigmau, fit4$xi, fit4$phiu), col="purple",lwd=2) abline(v = fit4$u, col="purple") # Hybrid Pareto fit5 = fhpd(x) lines(xx, dhpd(xx, fit5$nmean, fit5$nsd, fit5$xi), col="orange",lwd=2) abline(v = fit5$u, col="orange") # Usual model diagnostics default to focus on upper tail evmix.diag(fit) # Can see entire fit evmix.diag(fit,upperfocus=FALSE) # Usual MRL and threshold stability plots, with some extra features par(mfrow=c(1,1)) mrlplot(x, try.thresh=c(0.5,1,1.5)) data(FtCoPrec,package="extRemes") mrlplot(FtCoPrec[,5], try.thresh=c(0.395, 0.8, 1.2))