# cMoment: MOM estimator for right censored data In ReIns: Functions from "Reinsurance: Actuarial and Statistical Aspects"

 cMoment R Documentation

## MOM estimator for right censored data

### Description

Computes the Method of Moment estimates adapted for right censored data.

### Usage

cMoment(data, censored, logk = FALSE, plot = FALSE, add = FALSE,
main = "Moment estimates of the EVI", ...)


### Arguments

 data Vector of n observations. censored A logical vector of length n indicating if an observation is censored. 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_1 should be plotted as a function of k, default is FALSE. add Logical indicating if the estimates of \gamma_1 should be added to an existing plot, default is FALSE. main Title for the plot, default is "Moment estimates of the EVI". ... Additional arguments for the plot function, see plot for more details.

### Details

The moment estimator adapted for right censored data is equal to the ordinary moment estimator divided by the proportion of the k largest observations that is non-censored.

This estimator is only suitable for right censored data.

### Value

A list with following components:

 k Vector of the values of the tail parameter k. gamma1 Vector of the corresponding moment estimates.

Tom Reynkens

### References

Einmahl, J.H.J., Fils-Villetard, A. and Guillou, A. (2008). "Statistics of Extremes Under Random Censoring." Bernoulli, 14, 207–227.

Moment, cProbMOM, cQuantMOM

### Examples

# Set seed
set.seed(29072016)

# Pareto random sample
X <- rpareto(500, shape=2)

# Censoring variable
Y <- rpareto(500, shape=1)

# Observed sample
Z <- pmin(X, Y)

# Censoring indicator
censored <- (X>Y)

# Moment estimator adapted for right censoring
cmom <- cMoment(Z, censored=censored, plot=TRUE)


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