fitWeights: Fitting the weights of the body and the tail for a spliced...

Description Usage Arguments Details Author(s) See Also Examples

View source: R/fitWeights.R

Description

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

Usage

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  fitWeights(cell, thresh)

Arguments

cell

List containing the data in the component Loss

thresh

Threshold between the body and the tail.

Details

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.

Author(s)

Christina Zou, Leonie Wicht

See Also

fitThreshold, fitSpliced

Examples

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    data(lossdat)
    thresh<-quantile(lossdat[[1]]$Loss, 0.9)
    w<-fitWeights(lossdat, thresh)
    
  

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