Take the 2-minute tour ×
Cross Validated is a question and answer site for people interested in statistics, machine learning, data analysis, data mining, and data visualization. It's 100% free, no registration required.

I'm using the POT Package in R for fitting a Generalized Pareto distribution to my data. For choosing an approximate threshold I'm using the tcplot() and mrlplot() the following way(x is the data containing vector)

tcplot(x,u.range=c(0,quantile(x,probs=0.995)))
mrlplot(x,u.range=c(0,quantile(x,probs=0.995)),col=c("green","black","green"),nt=200 )

But I get a bit confused sometimes as what value I'll choose as threshold. Particularly as mentioned in this site that

interpretation of these plots often requires a good deal of subjective judgement

For example what would be the threshold given the following plot? A parameter stability and MRL plot

share|improve this question

1 Answer 1

I believe the threshold is selected as the point at which the MRL plot becomes kind of linear, which to my eye is 2.75 on the MRL plot.

share|improve this answer

Your Answer

 
discard

By posting your answer, you agree to the privacy policy and terms of service.

Not the answer you're looking for? Browse other questions tagged or ask your own question.