qdegross: Quantile function based on an object resulting from the...

Description Usage Arguments Value Author(s) References See Also Examples

View source: R/qdegross.R

Description

Quantile function based on an object resulting from the estimation procedure in degross.

Usage

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qdegross(p, degross.fit, phi, get.se=FALSE, cred.level=.95, eps=1e-4)

Arguments

p

Scalar or vector of probabilities in (0,1) indicating the requested fitted quantiles Q(p) based on the density estimation results in degross.fit.

degross.fit

A degross.object generated using degross and containing the density estimation results.

phi

(Optional) vector of spline parameters for the log density (default: degross.fit$phi if missing).

get.se

Logical indicating if standard errors for Q(p) are requested (default: FALSE).

cred.level

Level of credible intervals for Q(p).

eps

Precision with which each quantile should be computed (default: 1e-4).

Value

A scalar or vector x of the same length as p containing the values Q(p) at which the cdf pdegross(x,degross.fit) is equal to p. When get.se is TRUE, a vector or a matrix containing the quantile estimate(s), standard errors and credible interval limits for Q(p) is provided.

Author(s)

Philippe Lambert p.lambert@uliege.be

References

Lambert, P. (2021) Moment-based density and risk estimation from grouped summary statistics. arXiv:2107.03883.

See Also

degross.object, ddegross, pdegross, degross.

Examples

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## Generate grouped data
sim = simDegrossData(n=3500, plotting=TRUE, choice=2)

## Create a degrossData object
obj.data = degrossData(Big.bins=sim$Big.bins, freq.j=sim$freq.j, m.j=sim$m.j)
print(obj.data)

## Estimate the density
obj.fit = degross(obj.data)

## Corresponding fitted quantiles
p = c(.01,.05,seq(.1,.9,by=.1),.95,.99) ## Desired probabilities
Q.p = qdegross(p,obj.fit) ## Compute the desired quantiles
print(Q.p) ## Estimated quantiles

## Compute the standard error and a 90% credible interval for the 60% quantile
Q.60 = qdegross(.60,obj.fit,get.se=TRUE,cred.level=.90) ## Compute the desired quantile
print(Q.60) ## Estimated quantile, standard error and credible interval

degross documentation built on Aug. 4, 2021, 5:06 p.m.

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