q.tails: Quantile-Based Tails Comparison

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

View source: R/q.tails.R

Description

Compare right tails of two sample distributions using a quantile-based approach (QBA); see \insertCiteSoliman_etal_2014_insurance;textualfuntimes, \insertCiteSoliman_etal_2015_insurance;textualfuntimes, and \insertCiteLyubchich_Gel_2017_insurance;textualfuntimes.

Usage

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q.tails(x0, x1, q = 0.99)

Arguments

x0, x1

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

q

a quantile defining the right tail for both x0 and x1. Values above the thresholds quantile(x0, probs = q) and quantile(x1, probs = q) are considered as the respective right tails.

Details

Sturges' formula is used to calculate number of intervals (k) to split the upper 100(1 - q)\ (the right tails). Then, each tail is divided into equally-filled intervals with a quantile step d=(1 - q)/k. Pk reports the difference between corresponding intervals' centers obtained from x0 and x1.

Value

A list with two elements:

d

the step in probabilities for defining the quantiles.

Pk

vector of differences of the intervals' centers.

Author(s)

Vyacheslav Lyubchich, Yulia R. Gel

References

\insertAllCited

See Also

i.tails

Examples

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

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