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
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?