R/Splicing.R

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

# This file contains the methods for fitting the spliced distribution, the S3 class SpliceFit
# and the PDF, CDF, quantile function and random number generation for the spliced distribution.
#
# The plots to asses the quality of the fit are implemented in Splicing_plots.R and 
# the fitting procedure for interval censored data is included in Splicing_EM.R.


###########################################################################

# Check input for const
.constCheck <- function(const) {
 
  if (!is.numeric(const)) stop("const should be numeric.")
  
  if (any(const <= 0) | any(const >= 1)) {
    stop("const should be a vector of numbers in (0,1).")
  }
  
  if (is.unsorted(const, strictly=TRUE)) {
    stop("const should be a strictly increasing vector.")
  }
  
}


# Check input for tsplice
.tspliceCheck <- function(tsplice) {
  
  if (!is.numeric(tsplice)) stop("tsplice should be numeric.")

  if (is.unsorted(tsplice, strictly=TRUE)) {
    stop("tsplice should be a strictly increasing vector.")
  }
  
}



#########################################################
# S3 classes


# Check if x is an integer
.is.wholenumber <- function(x, tol = .Machine$double.eps^0.5) {
  abs(x - round(x)) < tol
} 


# MEfit class
MEfit <- function(p, shape, theta, M, M_initial = NULL) {
  
  # Check if arguments are numeric
  if (!is.numeric(p)) stop("p must be numeric.")
  if (!is.numeric(shape)) stop("shape must be numeric.")
  if (!is.numeric(theta)) stop("theta must be numeric.")
  if (!is.numeric(M)) stop("M must be numeric.")
  
  # Check length of M and if it is an integer
  if (length(M) != 1) stop("M must have length 1.")
  if (!.is.wholenumber(M) | M <= 0) stop("M must be a strictly positive integer.")
  
  # Check length of arguments
  if (length(p) != M) stop("p must have length M.")
  if (length(shape) != M) stop("shape must have length M.")
  if (length(theta) != 1) stop("theta must have length 1")
  
  eps <- .Machine$double.eps
  
  # Check if p is a vector of probabilities that sums to one.
  if (any(p <= eps)) stop("p must contain strictly positive numbers.")
  tol <- .Machine$double.eps^0.5
  if (abs(sum(p)-1) > tol) stop("p must have sum 1.")
  
  # Check if shape is a strictly increasing vector of positive integers.
  if (any(shape <= eps) | any(!.is.wholenumber(shape))) {
    stop("shape must contain strictly positive integers.")
  }  
  if (is.unsorted(shape, strictly=TRUE)) {
    stop("shape must be a strictly increasing vector.")
  }
  
  # Check if theta is strictly positive
  if (theta <= eps) {
    stop("theta must be a strictly positive number.")
  }
  
  # Make first list
  L <- list(p=p, shape=shape, theta=theta, M=M)
  
  # Optional argument M_initial
  if (!is.null(M_initial)) {
    
    if (!is.numeric(M_initial)) stop("M_initial must be numeric.")
    
    if (length(M_initial) != 1) stop("M_initial must have length 1.")
    
    if (!.is.wholenumber(M_initial) | M_initial <= 0) {
      stop("M_initial must be a strictly positive integer.")
    }
    
    L$M_initial <- M_initial
  }
  
  # Return final structure of class MEfit
  structure(L, class = "MEfit")
}


# EVTfit class
EVTfit <- function(gamma, endpoint = NULL, sigma = NULL) {
  
  # Default value
  if (is.null(endpoint)) endpoint <- rep(Inf, length(gamma))
  
  # Check if arguments are numeric
  if (!is.numeric(gamma)) stop("gamma must be numeric.")
  if (!is.numeric(endpoint)) stop("endpoint must be numeric.")
  
  
  # Check length of gamma and endpoint
  if (length(gamma) != length(endpoint)) stop("gamma and endpoint should have equal length.")
  
  # Make first list
  L <- list(gamma=gamma)
  
  # Optional argument sigma
  if (!is.null(sigma)) {
    
    if (!is.numeric(sigma)) stop("sigma must be numeric.")
    
    if (length(sigma) != length(gamma)) stop("gamma and sigma should have equal length.")
    
    eps <- .Machine$double.eps
    if (any(sigma <= eps)) {
      stop("sigma should be strictly positive.")
    }
    
    L$sigma <- sigma
  }
  
  # Add endpoint to list
  L$endpoint <- endpoint
  
  # Return final structure of class EVTfit
  structure(L, class = "EVTfit")
}



# SpliceFit class
SpliceFit <- function(const, trunclower, t, type, MEfit, EVTfit, loglik = NULL, IC = NULL) {
  
  # Check input for const
  .constCheck(const)
  
  l <- length(const)
  
  
  # Compute pi
  pi <- c(const[1], diff(const), 1-const[l])

  
  # Check t and trunclower
  if (!is.numeric(trunclower)) stop("trunclower should be numeric.")
  if (length(trunclower) != 1) stop("trunclower should have length 1.")
  
  if (length(t) != l) stop("const and t should have equal length.")
  
  if (is.unsorted(t, strictly=TRUE)) {
    stop("t should be a strictly increasing vector.")
  }
  
  if (t[1] <= trunclower) stop("trunclower should be strictly smaller than the elements of t.")
  
  
  # Check type
  
  # Change tPa to TPa
  type[type == "tPa"] <- "TPa"
  
  if (length(type) != l+1) stop("type should have one element more than const.")
  
  if (!type[1] == "ME") stop("The first argument of type is \"ME\".")
  
  if (!all(type[-1] %in% c("Pa", "GPD", "TPa"))) stop("Invalid type.")
  
  if (any(type[-1] == "GPD") & any(type[-1] != "GPD")) stop("GPD cannot be combined with other EVT distributions.")
  

  # Check MEfit and EVTfit
  if (!is(MEfit, "MEfit")) stop("MEfit should be of class MEfit.")
  if (!is(EVTfit, "EVTfit")) stop("EVTfit should be of class EVTfit.")
  
  if (length(EVTfit$gamma) != l) stop("gamma should have the same length as const.")
  
  if (type[2] == "GPD" & !exists("sigma", where=EVTfit)) {
    stop("sigma should be included when GPD is used.")
  }

  NAind <- which(is.na(EVTfit$gamma))
  if (any(grepl("Pa", type[-c(1, NAind)]) & EVTfit$gamma[-NAind] <= 0)) {
    stop("gamma should be strictly positive when Pareto distribution is used.")
  }
 

  # Check if correct type when truncated
  ind <- which(is.finite(EVTfit$endpoint))
  if (any(substring(type[ind+1], 1, 1) != "T")) {
    stop("Invalid type when endpoint is finite.")
  }
  
  # Check if truncated when indicated by type
  ind <- which(substring(type, 1, 1) == "T")
  if (any(!is.finite(EVTfit$endpoint[ind-1]) & !is.na(EVTfit$endpoint[ind-1]))) {
    stop("Infinite endpoint is not compatible with type \"TPa\".")
  }
  
  # Issue warning for NAs in gamma
  if (any(is.na(EVTfit$gamma))) {
    warning("One or more NAs are present in estimate(s) for gamma.")
  }
  
  # Make list
  L <- list(const=const, pi=pi, trunclower=trunclower, t=t, type=type, MEfit=MEfit, EVTfit=EVTfit)
  
  # Check log-likelihood and add to list
  if (!is.null(loglik)) {
    
    if (!is.numeric(loglik) | length(loglik) != 1) {
      stop("loglik should be a numeric of length 1.")
    }
    
    L$loglikelihood <- loglik
  }
  
  # Check IC and add to list
  if (!is.null(IC)) {
    
    if (!is.numeric(IC) | !(length(IC) %in% 1:3)) {
      stop("IC should be a numeric of length 1, 2 or 3.")
    }
    
    L$IC <- IC
  }
  
  # Return final structure of class Splicefit
  structure(L, class = "SpliceFit")
}

# Auxiliary function for summary.SpliceFit
.pasteVec <- function(s, name, vec, digits, paste_end="\n\n") {
  
  # Take no digits when vec is large
  digits <- ifelse(min(vec) <= 1000, digits, 0)
  
  # Format output in right style (after rounding): add blank spaces, remove scientific notation and
  # remove leading whitespace, remove trailing zeros
  res <- format(round(vec, digits), big.mark=" ", scientific=FALSE, trim=TRUE,
                drop0trailing=TRUE)
  
  # paste_end is the last part of the string
  if (length(vec) == 1) {
    paste0(s, name, " = ", res, paste_end)
  } else {
    paste0(s, name, " = (", paste(res, collapse=", "), ")", paste_end)
  }
  
}



# summary method for SpliceFit class
# Needs to have same input name as generic one
summary.SpliceFit <- function(object, digits = 3, ...) {
  
  splicefit <- object
  mefit <- splicefit$MEfit
  evtfit <- splicefit$EVTfit
  
  # Length of dashes and stars
  l <- 20
  
  # Title
  s <- "\n"
  s <- paste0(s, paste0(rep("--", l), collapse=""), "\n")
  s <- paste0(s, "Summary of splicing fit", "\n")
  s <- paste0(s, paste0(rep("--", l), collapse=""), "\n\n")
  
  
  # General splicing part
  s <- .pasteVec(s, "const", splicefit$const, digits)
  s <- .pasteVec(s, "pi", splicefit$pi, digits)
  s <- .pasteVec(s, "t0", splicefit$trunclower, digits)
  s <- .pasteVec(s, "t", splicefit$t, digits)
  s <- paste0(s, "type = (", paste(splicefit$type, collapse=", "), ")", "\n\n")
  
  s <- paste0(s, paste0(rep("* ", l), collapse=""), "\n\n")
  
  
  # ME part
  s <- .pasteVec(s, "p", mefit$p, digits)
  s <- .pasteVec(s, "r", mefit$shape, digits)
  s <- .pasteVec(s, "theta", mefit$theta, digits)
  s <- .pasteVec(s, "M", mefit$M, digits)
  if (exists("M_initial", where=splicefit$MEfit)) {
    s <- .pasteVec(s, "M_initial", mefit$M_initial, digits)
  }
  
  s <- paste0(s, paste0(rep("* ", l), collapse=""), "\n\n")
  
  # EVT part
  s <- .pasteVec(s, "gamma", evtfit$gamma, digits)
  if (exists("sigma", where=splicefit$EVTfit)) {
    s <- .pasteVec(s, "sigma", evtfit$sigma, digits)
  }
  s <- .pasteVec(s, "endpoint", evtfit$endpoint, digits)
  
  cat(s)
}

# General tex function
tex <- function(object, ... ) UseMethod("tex", object)

# TeX method for SpliceFit class
tex.SpliceFit <- function(object, digits = 3, ...) {
  
  splicefit <- object
  mefit <- splicefit$MEfit
  evtfit <- splicefit$EVTfit
  
  s <- "\n"
  
  # General splicing part
  
  # Print all but last element of pi
  if (length(splicefit$pi) > 2) {
    for (i in 1:(length(splicefit$pi)-1)) {
      s <- .pasteVec(s, paste0("\\pi_", i), splicefit$pi[i], digits, ", ")
    }
    # Remove last ", " and add newline (twice)
    s <- substr(s, 1, nchar(s)-2)
    s <- paste0(s, "\n\n")
    
  } else {
    
    s <- .pasteVec(s, "\\pi", splicefit$pi[1], digits)
  }
  
  s <- .pasteVec(s, "t^l", splicefit$trunclower, digits)
  
  # Print all splicing points
  if (length(splicefit$t) > 1) {
    
    for (i in 1:length(splicefit$t)) {
      s <- .pasteVec(s, paste0("t_", i), splicefit$t[i], digits, ", ")
    }
    # Remove last ", " and add newline (twice)
    s <- substr(s, 1, nchar(s)-2)
    s <- paste0(s, "\n\n")
    
  } else {
    s <- .pasteVec(s, "t", splicefit$t[1], digits)
  }
  
  # Print splicing type
  s <- paste0(s, "type = (", paste(splicefit$type, collapse=", "), ")", "\n\n")
  
  
  # ME part
  # Print alpha
  s <- .pasteVec(s, "\\alpha", mefit$p, digits)
  # Print shape
  s <- .pasteVec(s, "r", mefit$shape, digits)
  # Print scale
  s <- .pasteVec(s, "\\theta", mefit$theta, digits)
  
  # EVT part
  
  # Print gamma
  if (length(evtfit$gamma) > 1) {
    
    for (i in 1:length(evtfit$gamma)) {
      s <- .pasteVec(s, paste0("\\gamma_", i), evtfit$gamma[i], digits, ", ")
    }
    # Remove last ", " and add newline (twice)
    s <- substr(s, 1, nchar(s)-2)
    s <- paste0(s, "\n\n")
    
  } else {
    s <- .pasteVec(s, "\\gamma", evtfit$gamma, digits)
  }
  
  # Print sigma if exists
  if (exists("sigma", where=splicefit$EVTfit)) {
    if (length(evtfit$sigma) > 1) {
      
      for (i in 1:length(evtfit$sigma)) {
        s <- .pasteVec(s, paste0("\\sigma_", i), evtfit$sigma[i], digits, ", ")
      }
      # Remove last ", " and add newline (twice)
      s <- substr(s, 1, nchar(s)-2)
      s <- paste0(s, "\n\n")
      
    } else {
      s <- .pasteVec(s, "\\sigma", evtfit$sigma, digits)
    }
  }
  
  # Print endpoint, special case when infinite
  end <- evtfit$endpoint[length(evtfit$endpoint)]
  
  if (is.finite(end)) {
    s <- .pasteVec(s, "T", end, digits)
  } else {
    s <- paste0(s, "T = +\\infty", "\n")
  }
  
  
  cat(s)
}



# Only keep necessary parts from .ME_tune output
.MEoutput <- function(fit_tune) {
  
  # Obtain best model
  MEfit_old <- fit_tune$best_model
  
  # Make MEfit object
  # Use alpha not beta for future calculations!
  MEfit <- MEfit(p=MEfit_old$alpha, shape=MEfit_old$shape, theta=MEfit_old$theta, 
                 M=MEfit_old$M, M_initial=MEfit_old$M_initial)

  return(MEfit)
}


###############################################################################

# Fit mixed Erlang and (truncated) Pareto splicing model to uncensored data
SpliceFitPareto <- function(X, const = NULL, tsplice = NULL, M = 3, s = 1:10, trunclower = 0, truncupper = Inf, EVTtruncation = FALSE, 
                            ncores = NULL, criterium = c("BIC", "AIC"), reduceM = TRUE, 
                            eps = 10^(-3), beta_tol = 10^(-5), maxiter = Inf) {
 
  ##
  # Check input
  
  # Check if X is numeric
  if (!is.numeric(X)) stop("X should be a numeric vector.")
  n <- length(X)
  
  # Check input for const if not NULL
  if (!is.null(const)) {

    .constCheck(const)
    
    l <- length(const)
  }
  
  # Check input for tsplice if not NULL
  if (!is.null(tsplice)) {
    
    .tspliceCheck(tsplice)
    
    l <- length(tsplice)
  }

  if (is.null(const) & is.null(tsplice)) {
    stop("const and tsplice cannot be both NULL.")
  }
  
  if (!is.null(const) & !is.null(tsplice)) {
    warning("Both const and tsplice are not NULL, the input for tsplice will be used.")
    
    const <- NULL
  }
  
  
  # Check input for EVTtruncation
  if (!is.logical(EVTtruncation)) {
    stop("EVTtruncation should be a logical of length 1.")
  }
  
  if (length(EVTtruncation) != 1 & length(EVTtruncation) > 0) {
    # Only use last element if length>1 (compatibility with older versions)
    EVTtruncation <- EVTtruncation[length(EVTtruncation)]
    warning("EVTtruncation has more than one element, only the last one is used.")
    
  } else if (length(EVTtruncation) <= 0) {
    # Stop if length 0 (or less)
    stop("EVTtruncation should be a logical of length 1.")
  }
  
  # Check input for trunclower
  if (length(trunclower) != 1) {
    stop("trunclower should have length 1.")
  }
  
  if (!is.numeric(trunclower)) {
    stop("trunclower should be numeric.")
  }
  
  if (trunclower > min(X)) {
    stop("trunclower should be smaller than all data points.")
  }
  
  if (trunclower < 0) {
    stop("trunclower cannot be strictly negative.")
  }
  
  if (!is.finite(trunclower) ) {
    stop("trunclower has to be finite.")
  }
  
  
  # Check input for truncupper
  if (length(truncupper) != 1 ) {
    stop("truncupper should have length 1.")
  }
  
  if (!is.numeric(truncupper)) {
    stop("trunclower should be numeric.")
  }
  
  if (truncupper < max(X)) {
    stop("truncupper should be larger than all data points.")
  }

  if (truncupper <= trunclower) {
    stop("truncupper should be strictly larger than trunclower.")
  }
  
  if (!EVTtruncation & is.finite(truncupper)) {
    # Set EVTtruncation to true when truncupper is finite
    EVTtruncation <- TRUE
    warning("truncupper is finite, EVTtruncation is set to TRUE.")
  }
  
  
  
  # Match input argument for criterium
  criterium <- match.arg(criterium)
  
  # Check input for ncores
  if (is.null(ncores)) ncores <- max(detectCores()-1, 1)
  if (is.na(ncores)) ncores <- 1
  
  
  ##
  # Determine values of splicing points
    
  Xsort <- sort(X)
  
  if (!is.null(const)) {
    # Number of points larger than splicing points
    k_init <- ceiling((1-const)*n)
    
    # Splicing points
    tvec <- numeric(l)
    tvec <- Xsort[n-k_init]
    
    # Update const
    const <- 1-k_init/n

  } else {
    tvec <- tsplice
    
    # const is number of observations smaller than or equal to tvec
    f <- function(t, x) sum(x <= t)
    const <- sapply(tvec, f, Xsort)/n

    # Make sure k_init is of integer type
    k_init <- as.integer((1-const)*n)
  }

  # Number of points in splicing part larger than splicing point
  kvec <- k_init
  
  if (l > 1) {
    for (i in (l-1):1) {
      kvec[i] <- kvec[i] - sum(kvec[(i+1):l])
    } 
  }
  

  # Problem when first splicing point smaller than trunclower
  if (any(trunclower >= tvec[1])) {
    stop("trunclower should be strictly smaller than the first splicing point.")
  }
  
  t1 <- tvec[1]
   
  ##
  # Mixing Erlang part
  MEind <- (X <= t1) 
  
  # Upper truncated at threshold t
  fit_tune <- .ME_tune(lower=X[MEind], upper=X[MEind], trunclower=trunclower, truncupper=t1,
                       M=M, s=s, nCores=ncores, criterium=criterium, reduceM=reduceM, 
                       eps=eps, beta_tol=beta_tol, maxiter=maxiter)
  # Output as MEfit object
  MEfit <- .MEoutput(fit_tune)
  
  ##
  # EVT part
  EVTfit <- list()
  
  type <- character(l)
  
  EVTfit$gamma <- numeric(l)
  EVTfit$endpoint <- rep(Inf, l)

  # Splicing parts
  for (i in 1:l) {

    if (i == l) {
      
      if (EVTtruncation) {
        
        if (is.finite(truncupper)) {
          # Last Pareto distribution is truncated, known truncation point
          EVTfit$gamma[i] <- .trHillinternal(X[X <= truncupper], tvec[i], truncupper)
          EVTfit$endpoint[i] <- truncupper
          
        } else {
          # Last Pareto distribution is truncated, estimate truncation point
          res <- trHill(X)
          resDT <- trDT(X, gamma=res$gamma)
          resEndpoint <- trEndpoint(X, gamma=res$gamma, DT=resDT$DT)
          EVTfit$gamma[i] <- res$gamma[res$k == kvec[i]]
          EVTfit$endpoint[i] <- resEndpoint$Tk[resEndpoint$k == kvec[i]]
        }

        type[i] <- "TPa"
        
        # If endpoint cannot be estimated, change to ordinary Pareto distribution
        if (is.nan(EVTfit$endpoint[i])) {
          EVTfit$gamma[i] <- .Hillinternal(X, tvec[i])
          EVTfit$endpoint[i] <- Inf
          type[i] <- "Pa"
          warning("The endpoint for the (last) truncated Pareto distribution could not be estimated. An untruncated Pareto distribution has been fitted instead.")
        }
        
      } else {
        # Last Pareto distribution is not truncated
        
        EVTfit$gamma[i] <- .Hillinternal(X, tvec[i])
        type[i] <- "Pa"
      }
  
    } else {
      
      # Endpoint is next splicing point
      tt <- tvec[i+1]
      
      # Truncated Pareto distribution with truncation point tt
      EVTfit$gamma[i] <- .trHillinternal(X[X <= tt], tvec[i], tt)
      EVTfit$endpoint[i] <- tt
      type[i] <- "TPa"
    }
    
  }
  
  # Convert to object of class EVTfit
  EVTfit <- EVTfit(gamma=EVTfit$gamma, endpoint=EVTfit$endpoint, sigma=NULL)
  
  
  ##

  # Make SpliceFit object
  sf <- SpliceFit(const=const, trunclower=trunclower, t=tvec, type=c("ME", type), MEfit=MEfit, EVTfit=EVTfit)
  
  # Compute log-likelihood
  loglik <- sum(log(dSplice(X, sf)))

  # Compute ICs, parameters: alpha (-1 since sums to 1), r, theta, gamma's, last endpoint (if finite and not given), pi's
  df <- 2*MEfit$M-1 + 1 + length(EVTfit$gamma) + (is.finite(EVTfit$endpoint[length(EVTfit$endpoint)]) &  is.infinite(truncupper)) + length(const)
  aic <- -2*loglik + 2*df
  bic <- -2*loglik + log(n)*df
  ic <- c(aic, bic)
  names(ic) <- c("AIC", "BIC")

  ##
  # Return SpliceFit object
  return( SpliceFit(const=const, trunclower=trunclower, t=tvec, type=c("ME", type), 
                    MEfit=MEfit, EVTfit=EVTfit, loglik=loglik, IC=ic) )
}
# Include for compatibility with old versions
SpliceFitHill <- SpliceFitPareto


# Fast Hill estimator for fixed threshold
.Hillinternal <- function(x, threshold) {
  
  ind <- (x > threshold)
  
  return(sum(log(x[ind]/threshold))/sum(ind))
}

# Fast Hill estimator for fixed threshold and known truncation point 
.trHillinternal <- function(x, threshold, truncupper) {
  
  H <- .Hillinternal(x, threshold)
  
  beta <- truncupper/threshold
  f <- function(gamma) (gamma-H-log(beta)/(beta^(1/gamma)-1))^2
  
  return(nlm(f, H)$estimate)
}


##################################

# Fit mixed Erlang and Pareto splicing model to interval censored data
SpliceFiticPareto <- function(L, U, censored, tsplice, M = 3, s = 1:10, trunclower = 0, truncupper = Inf, ncores = NULL, 
                              criterium = c("BIC", "AIC"), reduceM = TRUE, eps = 10^(-3), beta_tol = 10^(-5), maxiter = Inf, cpp = FALSE) {
  
  # Call function from Splicing_EM.R
  return(.SpliceFiticPareto(L=L, U=U, censored=censored, tsplice=tsplice, M=M, s=s, trunclower=trunclower, truncupper=truncupper,
                            ncores=ncores, criterium=criterium, reduceM=reduceM, eps=eps, beta_tol=beta_tol, maxiter=maxiter, cpp=cpp))
}


##################################

# Fit mixed Erlang and GPD splicing model (to uncensored data)
# No truncation implemented, so only use with one GPD part!
SpliceFitGPD <- function(X, const = NULL, tsplice = NULL, M = 3, s = 1:10, trunclower = 0, ncores = NULL, 
                         criterium = c("BIC", "AIC"), reduceM = TRUE, eps = 10^(-3), beta_tol = 10^(-5), maxiter = Inf) {

  # Check if X is numeric
  if (!is.numeric(X)) stop("X should be a numeric vector.")
  n <- length(X)
  
  
  # Check input for const if not NULL
  if (!is.null(const)) {
    
    .constCheck(const)
    
    l <- length(const)
  }
  
  # Check input for tsplice if not NULL
  if (!is.null(tsplice)) {
    
    .tspliceCheck(tsplice)
    
    l <- length(tsplice)
  }
  
  if (is.null(const) & is.null(tsplice)) {
    stop("const and tsplice cannot be both NULL.")
  }
  
  if (!is.null(const) & !is.null(tsplice)) {
    warning("Both const and tsplice are not NULL, the input for tsplice will be used.")
    
    const <- NULL
  }
  
  # Only implemented for a single splicing point
  if (l >= 2) {
    stop("const (or tsplice) should be a single number.")
  }
  
  
  # Check input for trunclower
  if (!is.numeric(trunclower)) {
    stop("trunclower should be numeric.")
  }
  
  if (any(trunclower > min(X))) {
    stop("trunclower should be strictly smaller than all data points.")
  }
  
  if (any(trunclower < 0)) {
    stop("trunclower cannot be strictly negative.")
  }
  
  
  
  # Check input for ncores
  if (is.null(ncores)) ncores <- max(detectCores()-1, 1)
  if (is.na(ncores)) ncores <- 1
  
  # Match input argument for criterium
  criterium <- match.arg(criterium)

  
  ##
  # Determine values of splicing points
  
  Xsort <- sort(X)
  
  if (!is.null(const)) {
    # Number of points larger than splicing points
    k_init <- ceiling((1-const)*n)
    
    # Splicing points
    tvec <- numeric(l)
    tvec <- Xsort[n-k_init]
    
    # Update const
    const <- 1-k_init/n
    
  } else {
    tvec <- tsplice
    
    # const is number of observations smaller than or equal to tvec
    f <- function(t, x) sum(x <= t)
    const <- sapply(tvec, f, Xsort)/n
    
  }
  
  
  # Problem when first splicing point smaller than trunclower
  if (any(trunclower >= tvec[1])) {
    stop("trunclower should be strictly smaller than the first splicing point.")
  }
  
  t1 <- tvec[1]
  
  ##
  # Mixing Erlang part
  MEind <- (X <= t1) 
  
  # Upper truncated at threshold t
  fit_tune <- .ME_tune(lower=X[MEind], upper=X[MEind], trunclower=trunclower, truncupper=t1,
                       M=M, s=s, nCores=ncores, criterium=criterium, reduceM=reduceM, 
                       eps=eps, beta_tol=beta_tol, maxiter=maxiter)
  # Output as MEfit object
  MEfit <- .MEoutput(fit_tune)
  
  ##
  # EVT part
  EVTfit <- list()
  
  type <- rep("GPD", l)
  
  EVTfit$gamma <- numeric(l)
  EVTfit$sigma <- numeric(l)
  EVTfit$endpoint <- rep(Inf, l)
  
  
  # Splice parts
  for (i in 1:l) {
    
    # Endpoint for last splicing is Inf
    if (i == l) {
      tt <- Inf
    } else {
      tt <- tvec[i+1]
    }
    
    POTdata <- X[X > tvec[i] & X <= tt]-tvec[i]
    res <- GPDfit(POTdata)
    EVTfit$gamma[i] <- res[1]
    EVTfit$sigma[i] <- res[2]
    
  }

  # Convert to object of class EVTfit
  EVTfit <- EVTfit(gamma=EVTfit$gamma, endpoint=EVTfit$endpoint, sigma=EVTfit$sigma)
  
  # Make SpliceFit object
  sf <- SpliceFit(const=const, trunclower=trunclower, t=tvec, type=c("ME", type), MEfit=MEfit, EVTfit=EVTfit)
  
  # Compute log-likelihood
  loglik <- sum(log(dSplice(X, sf)))
  
  # Compute ICs, parameters: alpha (-1 since sums to 1), r, theta, gamma's and sigma's, last endpoint (if finite), pi's
  df <- 2*MEfit$M-1 + 1 + 2*length(EVTfit$gamma) + is.finite(EVTfit$endpoint[length(EVTfit$endpoint)]) + length(const)
  aic <- -2*loglik + 2*df
  bic <- -2*loglik + log(n)*df
  ic <- c(aic, bic)
  names(ic) <- c("AIC", "BIC")
  
  ##
  # Return SpliceFit object
  return( SpliceFit(const=const, trunclower=trunclower, t=tvec, type=c("ME", type), 
                    MEfit=MEfit, EVTfit=EVTfit, loglik=loglik, IC=ic) )
}



########################################################################

# Splicing PDF
dSplice <- function(x, splicefit, log = FALSE) {
  
  # Check input
  if (!is(splicefit, "SpliceFit")) stop("splicefit should be of class SpliceFit.")
  
  if (!is.numeric(x)) stop("x should be a numeric vector.")
  
  
  d <- numeric(length(x))
  
  MEfit <- splicefit$MEfit
  EVTfit <- splicefit$EVTfit
  
  if (any(is.na(EVTfit$gamma))) {
    stop("At least one of the estimates for gamma is not available.")
  }  
  
  tvec <- splicefit$t
  trunclower <- splicefit$trunclower
  
  const <- splicefit$const
  l <- length(const)
  
  type <- splicefit$type
  
  ind <- (x <= tvec[1])
  
  # Case x<=t
  d[ind] <- const[1] * .ME_density(x[ind], shape = MEfit$shape, alpha = MEfit$p, 
                                   theta = MEfit$theta, trunclower = trunclower, truncupper = tvec[1])
  
  # Case x>t
  for (i in 1:l) {
    
    # Next splicing point (Inf for last part)
    tt <- ifelse(i == l, Inf, tvec[i+1])
    
    # Index for all observations in i-th EVTpart
    ind <- x > tvec[i] & x <= tt
    
    # Constant corresponding to next splicing part
    # (1 for last splicing part)
    cconst <- ifelse(i == l, 1, const[i+1])
    
    # Endpoint of splicing part, min of next splicing point and
    # endpoint from Pareto
    e <- min(tt, EVTfit$endpoint[i])

    # i+1 since type[1]="ME"
    if (splicefit$type[i+1] == "GPD") {
      d[ind] <- dtgpd(x[ind], mu=tvec[i], gamma=EVTfit$gamma[i], sigma=EVTfit$sigma[i], endpoint=e) * (cconst-const[i])
      
    } else if (type[i+1] %in% c("Pa", "TPa")) {
      d[ind] <- dtpareto(x[ind], shape=1/EVTfit$gamma[i], scale=tvec[i], endpoint=e) * (cconst-const[i])
      
    } else {
      stop("Invalid type.")
    }
  }
  
  # PDF is 0 after endpoint
  d[x > EVTfit$endpoint[l]] <- 0
  
  if (log) d <- log(d)
  
  return(d)
}


# Splicing CDF 
pSplice <- function(x, splicefit, lower.tail = TRUE, log.p = FALSE) {
  
  # Check input
  if (!is(splicefit, "SpliceFit")) stop("splicefit should be of class SpliceFit.")
  
  if (!is.numeric(x)) stop("x should be a numeric vector.")
  
  
  p <- numeric(length(x))
  
  MEfit <- splicefit$MEfit
  EVTfit <- splicefit$EVTfit
  
  if (any(is.na(EVTfit$gamma))) {
    stop("At least one of the estimates for gamma is not available.")
  }  
  
  tvec <- splicefit$t
  trunclower <- splicefit$trunclower
  
  const <- splicefit$const
  l <- length(const)
  
  type <- splicefit$type
  
  ind <- (x <= tvec[1])
  
  # Case x<t
  p[ind] <- const[1] * .ME_cdf(x[ind], shape = MEfit$shape, alpha = MEfit$p, 
                               theta = MEfit$theta, trunclower = trunclower, truncupper = tvec[1])

  # Case x>t
  for (i in 1:l) {
    
    # Next splicing point (Inf for last part)
    tt <- ifelse(i == l, Inf, tvec[i+1])
    
    # Index for all observations in i-th EVTpart
    ind <- x > tvec[i] & x <= tt
    
    # Constant corresponding to next splicing part
    # (1 for last splicing part)
    cconst <- ifelse(i == l, 1, const[i+1])
    
    # Endpoint of splicing part, min of next splicing point and
    # endpoint from Pareto
    e <- min(tt, EVTfit$endpoint[i])
    
    # i+1 since type[1]="ME"
    if (splicefit$type[i+1] == "GPD") {
      # Note that c +F(x)*(1-c) = 1-(1-c)*(1-F(x))
      p[ind] <- const[i] + ptgpd(x[ind], mu=tvec[i], gamma=EVTfit$gamma[i], sigma=EVTfit$sigma[i], endpoint=e) * (cconst-const[i])
    
    } else if (type[i+1] %in% c("Pa", "TPa")) {
      p[ind] <- const[i] + ptpareto(x[ind], shape=1/EVTfit$gamma[i], scale=tvec[i], endpoint=e) * (cconst-const[i])
    
    } else {
      stop("Invalid type.")
    }
  }
  
  # CDF is 1 after endpoint
  p[x >= EVTfit$endpoint[l]] <- 1
  
  if (!lower.tail) p <- 1-p
  
  if (log.p) p <- log(p)
  
  
  return(p)
}



# Splicing quantiles
qSplice <- function(p, splicefit, lower.tail = TRUE, log.p = FALSE) {
  
  
  # Check input
  if (!is(splicefit, "SpliceFit")) stop("splicefit should be of class SpliceFit.")

  if (!is.numeric(p)) {
    stop("p should be numeric.")
  }
  
  if (log.p) p <- exp(p)
  
  
  if (any(p < 0) | any(p > 1)) {
    stop("All elements of p should be in [0,1].")
  }
  
  if (!lower.tail) p <- 1-p
  
  q <- numeric(length(p))
  
  MEfit <- splicefit$MEfit
  EVTfit <- splicefit$EVTfit
  
  if (any(is.na(EVTfit$gamma))) {
    stop("At least one of the estimates for gamma is not available.")
  }  
  
  tvec <- splicefit$t
  trunclower <- splicefit$trunclower
  
  const <- splicefit$const
  l <- length(const)

  ind <- (p <= const[1])
  
  if (any(ind)) {
    # Quantiles of ME part
    q[ind] <- .ME_VaR(p[ind]/const[1], shape = MEfit$shape, alpha = MEfit$p, 
                      theta = MEfit$theta, trunclower=trunclower, truncupper=tvec[1], 
                      interval=c(trunclower, tvec[1])) 
  }
  
  
  # Quantiles of EVT part
  
  for (i in 1:l) {
    
    # Next value for const (1 for last part)
    cconst <- ifelse(i == l, 1, const[i+1])
    
    # Index for all probabilities in i-th EVTpart
    ind <- p > const[i] & p <= cconst
    
    # Next splicing point (Inf for last part)
    tt <- ifelse(i == l, Inf, tvec[i+1])
    e <- min(EVTfit$endpoint[i], tt)
    
    # i+1 since type[1]="ME"
    if (splicefit$type[i+1] == "GPD") {
      q[ind] <- qtgpd((p[ind]-const[i])/(cconst-const[i]), mu=tvec[i], gamma=EVTfit$gamma[i], sigma=EVTfit$sigma[i], endpoint=e)
      
    } else if (splicefit$type[i+1] %in% c("Pa", "TPa")) {
      q[ind] <- qtpareto((p[ind]-const[i])/(cconst-const[i]), shape=1/EVTfit$gamma[i], scale=tvec[i], endpoint=e)
      
    } else {
      stop("Invalid type.")
    }
  }
  
  # Special case
  q[p == 1] <- EVTfit$endpoint[l]
  
  return(q)
}

# Random numbers from spliced distribution
rSplice <- function(n, splicefit) {
  
  # Check input
  if (!is(splicefit, "SpliceFit")) stop("splicefit should be of class SpliceFit.")
  
  # Use quantile function directly if more than 1 Pareto piece
  if (length(splicefit$EVTfit$gamma) > 1) {
    return(qSplice(runif (n), splicefit=splicefit))
    
  } else {
    
    mefit <- splicefit$MEfit
    evtfit <- splicefit$EVTfit
    
    # Random Bernoulli to select ME or Pareto
    ind <- sample(1:2, size=n, replace=TRUE, prob=splicefit$pi)
    
    splice_sample <- numeric(n)
    
    # Sample from ME
    ind1 <- which(ind == 1)
    splice_sample[ind1] <- .ME_random(length(ind1), theta=mefit$theta, shape=mefit$shape, alpha=mefit$p, 
                                      trunclower=splicefit$trunclower, truncupper=splicefit$t)
    
    ind2 <- which(ind == 2)
    if (splicefit$type[2] == "GPD") {
      # Sample from GPD
      splice_sample[ind2] <- rgpd(length(ind2), gamma=evtfit$gamma, sigma=evtfit$sigma, mu=splicefit$t)
    } else {
      # Sample from Pareto
      splice_sample[ind2] <- rtpareto(length(ind2), shape=1/evtfit$gamma, scale=splicefit$t, endpoint=evtfit$endpoint)
    }
  
    return(splice_sample)
  }
  
}