Northop and Coleman piecewise generalized Pareto threshold selection diagnostic
Source:R/NCdiag.R
      thselect.ncpgp.RdThe model tests the null hypothesis of a generalized Pareto above each threshold in thresh against the alternative of a piecewise generalized Pareto model with continuity constraints.
Arguments
- xdat
- [vector] observations 
- thresh
- [vector] candidate thresholds 
- test
- [string] indicating whether to perform - scoretest or likelihood ratio (- lr) test. The latter requires fitting the alternative model, and so is more computationally expensive.
- plot
- [logical]; if - TRUE, return a plot with the p-value path.
- level
- [double] confidence level for confidence interval, defaults to 0.95 
- ...
- additional arguments, for backward compatibility purposes