elevenprobs: Eleven, Seven, Five Probabilities

In FatTailsR: Kiener Distributions and Fat Tails in Finance

Description

Extract from a dataset X a vector of 11, 7 or 5 probabilities:

• c(p1, p2, p3, 0.25, 0.35, 0.50, 0.65, 0.75, 1-p3, 1-p2, 1-p1)

• c(p1, p2, 0.25, 0.50, 0.75, 1-p2, 1-p1)

• c(p1, 0.25, 0.50, 0.75, 1-p1)

where p1, p2 and p3 are the most extreme probabilities with values finishing by ..01, ..025 or ..05 that can be extracted from the dataset X. Parameters names are displayed if parnames = TRUE.

From version 1.8-0, p1 and 1-p1 can be associated to the i-th and (N-i)-th element.

Usage

elevenprobs(X, parnames = FALSE)

sevenprobs(X, parnames = FALSE)

fiveprobs(X, i = 4, parnames = FALSE)

Arguments

X	numeric. Vector of quantiles.
parnames	boolean. Output parameter vector with or without names.
i	integer. The i-th and (N-i)-th elements for which the probabilities p1 and 1-p1 are calculated. If (i == 0), the method used before version 1.8-0 : the extreme finishing by ..01, ..025 or ..05.

See Also

fitkienerX, estimkiener11.

Examples

require(timeSeries)

## DS
DS  <- getDSdata()
for (j in 1:16) { print(round(elevenprobs(DS[[j]]), 6)) }
z   <- cbind(t(sapply(DS, elevenprobs)), sapply(DS, length))
colnames(z) <- c("p1","p2","p3","p.25","p.35","p.50","p.65","p.75","1-p3","1-p2","1-p1","length")
z

## Choose j in 1:16
j   <- 1
X   <- sort(DS[[j]])
leX <- logit(eX <- elevenprobs(X))
lpX <- logit(ppoints(length(X), a = 0))
plot(X, lpX)
abline(h = leX, lty = 3)
mtext(eX, side = 4, at = leX, las = 1, line = -3.3)

FatTailsR documentation built on March 12, 2021, 9:06 a.m.