bootCI: Pointwise confidence intervals by bootstrap

In extremefit: Estimation of Extreme Conditional Quantiles and Probabilities

Pointwise confidence intervals by bootstrap

Description

Pointwise quantiles and survival probabilities confidence intervals using bootstrap.

Usage

bootCI(
  X,
  weights = rep(1, length(X)),
  probs = 1:(length(X) - 1)/length(X),
  xgrid = sort(X),
  B = 100,
  alpha = 0.05,
  type = "quantile",
  CritVal = 10,
  initprop = 1/10,
  gridlen = 100,
  r1 = 1/4,
  r2 = 1/20,
  plot = F
)

Arguments

X	a numeric vector of data values.
weights	a numeric vector of weights.
probs	used if type = "quantile", a numeric vector of probabilities with values in [0,1].
xgrid	used if type = "survival", a numeric vector with values in the domain of X.
B	an integer giving the number of bootstrap iterations.
alpha	the type 1 error of the bootstrap (1-alpha)-confidence interval.
type	type is either "quantile" or "survival".
CritVal	a critical value associated to the kernel function given by CriticalValue. The default value is 10 corresponding to the rectangular kernel.
gridlen, initprop, r1, r2	parameters used in the function hill.adapt (see hill.adapt).
plot	If TRUE, the bootstrap confidence interval is plotted.

Details

Generate B samples of X with replacement to estimate the quantiles of orders probs or the survival probability corresponding to xgrid. Determine the bootstrap pointwise (1-alpha)-confidence interval for the quantiles or the survival probabilities.

Value

LowBound	the lower bound of the bootstrap (1-alpha)-confidence interval.
UppBound	the upper bound of the bootstrap (1-alpha)-confidence interval of level.

See Also

hill.adapt,CriticalValue,predict.hill.adapt

Examples

X <- abs(rcauchy(400))
hh <- hill.adapt(X)
probs <- probgrid(0.1, 0.999999, length = 100)
B <- 200
## Not run:  #For computing time purpose
  bootCI(X, weights = rep(1, length(X)), probs = probs, B = B, plot = TRUE)
  xgrid <- sort(sample(X, 100))
  bootCI(X, weights = rep(1, length(X)), xgrid = xgrid, type = "survival", B = B, plot = TRUE)

## End(Not run)

extremefit documentation built on April 11, 2025, 6:10 p.m.