# [R] Peak Over Threshold values

Hutchinson,David [PYR] David.Hutchinson at ec.gc.ca
Thu May 27 19:40:55 CEST 2010

```Perhaps not elegant, but does the job

threshold <- 5.45
meetThreshold <- walevel >= threshold

d <- rle(meetThreshold)
startPos <- c(1, 1 + cumsum(d\$lengths[-length(d\$lengths)]))

abv <- which(d\$values == TRUE)
p.o.t <- data.frame()

for (i in seq( along = abv ) ) {
a <- startPos[abv[i]]
b <- a + (d\$lengths[abv[i]] - 1)
e <- which.max(walevel[a:b])
p.o.t <- rbind( p.o.t, data.frame(
pos = a + e - 1,
val = walevel[a:b][e]
) )
}

plot (
day,
walevel, type = 'l'
)

points(
p.o.t\$pos,
p.o.t\$val,
col = 'red'
)

abline(h = threshold, lty = 2, col = 'red')

-----Original Message-----
From: r-help-bounces at r-project.org [mailto:r-help-bounces at r-project.org] On Behalf Of Tonja Krueger
Sent: Thursday, May 27, 2010 1:47 AM
To: Vito Muggeo (UniPa); Clint Bowman
Cc: r-help at r-project.org
Subject: [R] Peak Over Threshold values

I'm  sorry, but that's not exactly what I was looking for. I obviously
didn't explain properly:

Within  my dataframe (df) I would like to find POT values that are not
linked. In my definition two maximum values are linked if walevel does not
fall below a certain value (the lower threshold value).

walevel <- c(5.75, 5.75, 5.75, 5.76, 5.80, 5.82, 5.85, 5.86, 5.91, 5.91,
5.88, 5.92, 5.99, 6.02, 6.00, 6.08, 6.11, 6.10, 6.10, 6.11, 6.14, 6.12,
6.15, 6.17, 6.15, 6.08, 6.01, 5.95, 5.89, 5.83, 5.77, 5.72, 5.70, 5.65,
5.59, 5.51, 5.43, 5.33, 5.30, 5.25, 5.22, 5.21, 5.19, 5.19, 5.19, 5.13,
5.15, 5.07, 5.04, 5.02, 4.99, 5.05, 5.07, 5.12, 5.17, 5.22, 5.32, 5.29,
5.33, 5.33, 5.36, 5.37, 5.42, 5.43, 5.48, 5.55, 5.57, 5.66, 5.68, 5.72,
5.77, 5.79, 5.81, 5.80, 5.80, 5.77, 5.72, 5.70, 5.66, 5.62, 5.62, 5.61,
5.59, 5.57, 5.51, 5.47, 5.41, 5.39, 5.40, 5.40, 5.42, 5.45, 5.47, 5.50,
5.50, 5.49, 5.43, 5.39, 5.33, 5.26)

day <- c(1:100)

df <- data.frame(day,walevel)

For example in my dataframe  a threshold value = 5.45 and an lower threshold
value = 5.3 should lead to two maximum values because between the 2^nd and
3^rd peak walevel does not fall below the lower threshold value.

With  "clusters (...)" from "evd package", I could find out POT values but
even though I set a lower threshold value for my example dataframe I would
get three maximum values instead of two.

library(evd)

clusters(df\$walevel,u =5.45, ulow= 5.3, r = 1, cmax=T)

clusters(df\$walevel,u =5.45, ulow= 5.3, r = 1, plot=T)

Changing r to 30 (for example) connects the 2^nd and 3^rd maximum events and
gives out the right 'end' for the first extreme event but not for the second
event. (Also I'd rather not use a time interval to prove that the events are

clusters(df\$walevel,u =5.45, ulow= 5.3, r = 30, cmax=T)

clusters(df\$walevel,u =5.45, ulow= 5.3, r = 30, plot=T)

What went wrong???

Tonja
-----Ursprüngliche Nachricht-----
hi.rle<-rle(walevel>5.79)
lo.rle<-rle(walevel<5.36)
plot(walevel)
abline(h=5.8,col=2,lty=3)
abline(h=5.35,col=3,lty=3)
hi.lo.rle<-sort(c(cumsum(hi.rle\$lengths),cumsum(lo.rle\$lengths)))
abline(v=hi.lo.rle)
You can use the \$values from the rle to sort things out. Probably
want to ignore the end point at length(walevel).
--
Clint Bowman INTERNET: clint at ecy.wa.gov
Air Quality Modeler INTERNET: clint at math.utah.edu
Department of Ecology VOICE: (360) 407-6815
PO Box 47600 FAX: (360) 407-7534
Olympia, WA 98504-7600
On Wed, 26 May 2010, Vito Muggeo (UniPa) wrote:
> dear Tonja,
> By plotting your data
>
> plot(df)
>
> it seems to me that you are looking for a piecewise linear relationships.
If
>  this is the case, have a look to the package segmented. You have to
specify
> or not the number and the starting values for the breakpoints
>
> library(segmented)
> olm<-lm(walevel~day)
>
> #specify number and starting values for the breakpoints..
> oseg<-segmented(olm, seg.Z=~day, psi=c(20,50,80))
> oseg\$psi
>
> #or you can avoid to specify starting values for psi
> oseg<-segmented(olm, seg.Z=~day,
> psi=NA,control=seg.control(stop.if.error=FALSE,K=30))
>
> oseg\$psi
>
>
> best,
> vito
>
>
> Tonja Krueger ha scritto:
>> Dear List
>>
>> I hope you can help me: I've got a dataframe (df) within which I am
>> looking
>> for Peak Over Threshold values as well as the length of the events. An
>> event
>> starts when walevel equals 5.8 and it should end when walevel equals
>> the
>> lower threshold value (5.35).
>>
>> I tried "clusters (...)" from "evd package", and varied r (see example)
>> but it
>> did not work for all events (again see example).
>>
>> walevel <- c(5.75, 5.75, 5.75, 5.76, 5.80, 5.82, 5.85, 5.86, 5.91,
>> 5.91,
>> 5.88, 5.92, 5.99, 6.02, 6.00, 6.08, 6.11, 6.10, 6.10, 6.11, 6.14, 6.12,
>> 6.15, 6.17, 6.15, 6.08, 6.01, 5.95, 5.89, 5.83, 5.77, 5.72, 5.70, 5.65,
>> 5.59, 5.51, 5.43, 5.33, 5.30, 5.25, 5.22, 5.21, 5.19, 5.19, 5.19, 5.13,
>> 5.15, 5.07, 5.04, 5.02, 4.99, 5.05, 5.07, 5.12, 5.17, 5.22, 5.32, 5.29,
>> 5.33, 5.33, 5.36, 5.37, 5.42, 5.43, 5.48, 5.55, 5.57, 5.66, 5.68, 5.72,
>> 5.77, 5.79, 5.81, 5.80, 5.80, 5.77, 5.72, 5.70, 5.66, 5.62, 5.62, 5.61,
>> 5.59, 5.57, 5.51, 5.47, 5.41, 5.39, 5.40, 5.40, 5.42, 5.45, 5.47, 5.50,
>> 5.50, 5.49, 5.43, 5.39, 5.33, 5.26)
>>
>> day <- c(1:100)
>>
>> df <- data.frame(day,walevel)
>>
>> library(evd)
>> clusters(df\$walevel, u = 5.80, r = 1, ulow = 5.35, cmax = T, plot = T)
>> clusters(df\$walevel, u = 5.80, r = 50, ulow = 5.35, cmax = T, plot = T)
>>
>> What have I done wrong?
>>
>> Tonja
>> ______________________________________________
>> R-help at r-project.org mailing list
>> [1]https://stat.ethz.ch/mailman/listinfo/r-help
>> PLEASE do read the posting guide
>> [2]http://www.R-project.org/posting-guide.html
>> and provide commented, minimal, self-contained, reproducible code.
>>
>
>

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```