SpliceQQ: Splicing quantile plot In ReIns: Functions from "Reinsurance: Actuarial and Statistical Aspects"

Description

Computes the empirical quantiles of a data vector and the theoretical quantiles of the fitted spliced distribution. These quantiles are then plotted in a splicing QQ-plot with the theoretical quantiles on the x-axis and the empirical quantiles on the y-axis.

Usage

 1 SpliceQQ(X, splicefit, p = NULL, plot = TRUE, main = "Splicing QQ-plot", ...)

Arguments

 X Vector of n observations. splicefit A SpliceFit object, e.g. output from SpliceFitPareto or SpliceFitGPD. p Vector of probabilities used in the QQ-plot. If NULL, the default, we take p equal to 1/(n+1),...,n/(n+1). plot Logical indicating if the quantiles should be plotted in a splicing QQ-plot, default is TRUE. main Title for the plot, default is "Splicing QQ-plot". ... Additional arguments for the plot function, see plot for more details.

Details

This QQ-plot is given by

(Q(p_j), \hat{Q}(p_j)),

for j=1,…,n where Q is the quantile function of the fitted splicing model and \hat{Q} is the empirical quantile function and p_j=j/(n+1).

See Reynkens et al. (2017) and Section 4.3.1 in Albrecher et al. (2017) for more details.

Value

A list with following components:

 sqq.the Vector of the theoretical quantiles of the fitted spliced distribution. sqq.emp Vector of the empirical quantiles from the data.

Tom Reynkens

References

Albrecher, H., Beirlant, J. and Teugels, J. (2017). Reinsurance: Actuarial and Statistical Aspects, Wiley, Chichester.

Reynkens, T., Verbelen, R., Beirlant, J. and Antonio, K. (2017). "Modelling Censored Losses Using Splicing: a Global Fit Strategy With Mixed Erlang and Extreme Value Distributions". Insurance: Mathematics and Economics, 77, 65–77.

Verbelen, R., Gong, L., Antonio, K., Badescu, A. and Lin, S. (2015). "Fitting Mixtures of Erlangs to Censored and Truncated Data Using the EM Algorithm." Astin Bulletin, 45, 729–758

Examples

 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 ## Not run: # Pareto random sample X <- rpareto(1000, shape = 2) # Splice ME and Pareto splicefit <- SpliceFitPareto(X, 0.6) x <- seq(0, 20, 0.01) # Plot of spliced CDF plot(x, pSplice(x, splicefit), type="l", xlab="x", ylab="F(x)") # Plot of spliced PDF plot(x, dSplice(x, splicefit), type="l", xlab="x", ylab="f(x)") # Fitted survival function and empirical survival function SpliceECDF(x, X, splicefit) # Log-log plot with empirical survival function and fitted survival function SpliceLL(x, X, splicefit) # PP-plot of empirical survival function and fitted survival function SplicePP(X, splicefit) # PP-plot of empirical survival function and # fitted survival function with log-scales SplicePP(X, splicefit, log=TRUE) # Splicing QQ-plot SpliceQQ(X, splicefit) ## End(Not run)

Example output       sh: 1: wc: Permission denied
sh: 1: cannot create /dev/null: Permission denied

ReIns documentation built on July 2, 2020, 4:03 a.m.