Description Usage Arguments Details Author(s) See Also Examples

Given the the weights of the spliced distribution are obtained by maximum likelihood estimation.

1 | ```
fitWeights(cell, thresh)
``` |

`cell` |
List containing the data in the component Loss |

`thresh` |
Threshold between the body and the tail. |

Given the threshold t, a density function *d1* for the body distribution and a density function *d2* for the tail distribution, the incidental spliced density function
has the formula *d(x)=w*d1(x)* if *x<=t* and *d(x)=(1-w)*d2(x)* of *x>t*.
The weight w is needed to normalize the density function. It is obtained by maximum likelihood estimation.
The weights depends only on the number of data points below and above the threshold, not on the distribution functions in the body and the tail.

Christina Zou, Leonie Wicht

fitThreshold, fitSpliced

1 2 3 4 5 |

OpVaR documentation built on May 29, 2018, 9:04 a.m.

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