interpret.gpdbiv {evir} | R Documentation |
Interprets the results of a bivariate GPD model fitted using the bivariate POT method.
interpret.gpdbiv(out, x, y)
out |
a |
x |
a scalar value greater than first threshold |
y |
a scalar value greater than second threshold |
First marginal probabilities of exceeding the points x and y are calculated, and then joint and conditional probabilities.
A vector of probabilities is invisibly returned, in printed order.
A simple interpretation of the fit in terms of exceedance probabilities for the point (x,y) is printed.
data(bmw) ; data(siemens)
out <- gpdbiv(-bmw, -siemens, ne1 = 100, ne2 = 100)
interpret.gpdbiv(out, 0.05, 0.05)
# probabilities of 5% falls in BMW and Siemens stock prices