i.tails: Interval-Based Tails Comparison

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

View source: R/i.tails.R

Description

Compare right tails of two sample distributions using an interval-based approach (IBA); see \insertCiteChu_etal_2015_insurance;textualfuntimes and \insertCiteLyubchich_Gel_2017_insurance;textualfuntimes.

Usage

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i.tails(x0, x1, d = NULL)

Arguments

x0, x1

vectors of the same length (preferably). Tail in x1 is compared against the tail in x0.

d

a threshold defining the tail. The threshold is the same for both x0 and x1. Default is quantile(x0, probs = 0.99).

Details

Sturges' formula is used to calculate number of intervals (k) for x0 d, then interval width is derived. The tails, x0 d and x1 d, are divided into the intervals. Number of x1-values within each interval is compared with the number of x0-values within the same interval (this difference is reported as Nk).

Value

A list with two elements:

Nk

vector that tells how many more x1-values compared with x0-values there are within each interval.

Ck

vector of the intervals' centers.

Author(s)

Calvin Chu, Yulia R. Gel, Vyacheslav Lyubchich

References

\insertAllCited

See Also

q.tails

Examples

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2
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x0 <- rnorm(1000)
x1 <- rt(1000, 5)
i.tails(x0, x1)

funtimes documentation built on Nov. 28, 2020, 1:06 a.m.