LStail: Least Squares tail estimator

In ReIns: Functions from "Reinsurance: Actuarial and Statistical Aspects"

Least Squares tail estimator

Description

Computes the Least Squares (LS) estimates of the EVI based on the last k observations of the generalised QQ-plot.

Usage

LStail(data, rho = -1, lambda = 0.5, logk = FALSE, plot = FALSE, add = FALSE, 
       main = "LS estimates of the EVI", ...)
            
TSfraction(data, rho = -1, lambda = 0.5, logk = FALSE, plot = FALSE, add = FALSE, 
           main = "LS estimates of the EVI", ...)

Arguments

data	Vector of n observations.
rho	Estimate for \rho, or NULL when \rho needs to be estimated using the method of Beirlant et al. (2002). Default is -1.
lambda	Parameter used in the method of Beirlant et al. (2002), only used when rho=NULL. Default is 0.5.
logk	Logical indicating if the estimates are plotted as a function of \log(k) (logk=TRUE) or as a function of k. Default is FALSE.
plot	Logical indicating if the estimates of \gamma should be plotted as a function of k, default is FALSE.
add	Logical indicating if the estimates of \gamma should be added to an existing plot, default is FALSE.
main	Title for the plot, default is "LS estimates of the EVI".
...	Additional arguments for the plot function, see plot for more details.

Details

We estimate \gamma (EVI) and b using least squares on the following regression model (Beirlant et al., 2005): Z_j = \gamma + b(n/k) (j/k)^{-\rho} + \epsilon_j with Z_j = (j+1) \log(UH_{j,n}/UH_{j+1,n}) and UH_{j,n}=X_{n-j,n}H_{j,n}, where H_{j,n} is the Hill estimator with threshold X_{n-j,n}.

See Section 5.8 of Beirlant et al. (2004) for more details.

The function TSfraction is included for compatibility with the old S-Plus code.

Value

k	Vector of the values of the tail parameter k.
gamma	Vector of the corresponding LS estimates for the EVI.
b	Vector of the corresponding LS estimates for b.
rho	Vector of the estimates for \rho when rho=NULL or the given input for rho otherwise.

Author(s)

Tom Reynkens based on S-Plus code from Yuri Goegebeur.

References

Beirlant, J., Dierckx, G. and Guillou, A. (2005). "Estimation of the Extreme Value Index and Regression on Generalized Quantile Plots." Bernoulli, 11, 949–970.

Beirlant, J., Dierckx, G., Guillou, A. and Starica, C. (2002). "On Exponential Representations of Log-spacing of Extreme Order Statistics." Extremes, 5, 157–180.

Beirlant J., Goegebeur Y., Segers, J. and Teugels, J. (2004). Statistics of Extremes: Theory and Applications, Wiley Series in Probability, Wiley, Chichester.

See Also

genQQ

Examples

data(soa)

# LS tail estimator
LStail(soa$size, plot=TRUE, ylim=c(0,0.5))

ReIns documentation built on Nov. 3, 2023, 5:08 p.m.