Estimate the scale parameter of a Pareto distribution
Description
Estimate the scale parameter of a Pareto distribution, i.e., the threshold for Pareto tail modeling.
Usage
1 2 
Arguments
x 
a numeric vector. 
w 
an optional numeric vector giving sample weights. 
groups 
an optional vector or factor specifying groups of elements of

method 
a character string specifying the estimation method. If

center 
a character string specifying the estimation method for the
center of the distribution. Possible values are 
probs 
a numeric vector of length two giving probabilities to be used
for computing weighted quantiles of the distribution. Values should be close
to 1 such that the quantiles correspond to the upper tail. This is used if

na.rm 
a logical indicating whether missing values in 
Details
Van Kerm's formula is given by
min(max(2.5 m(x), q(0.98)), q(0.97)),
where m(x) denotes the weighted mean and q(.) denotes weighted quantiles. This function allows to compute generalizations of Van Kerm's formula, where the mean can be replaced by the median and different quantiles can be used.
Value
An object of class "paretoScale"
with the following components:
x0 
the threshold (scale parameter). 
k 
the number of observations in the tail (i.e., larger than the threshold). 
Author(s)
Andreas Alfons
References
A. Alfons and M. Templ (2013) Estimation of Social Exclusion Indicators from Complex Surveys: The R Package laeken. Journal of Statistical Software, 54(15), 1–25. URL http://www.jstatsoft.org/v54/i15/
Van Kerm, P. (2007) Extreme incomes and the estimation of poverty and inequality indicators from EUSILC. IRISS Working Paper Series 200701, CEPS/INSTEAD.
See Also
minAMSE
, paretoQPlot
,
meanExcessPlot
Examples
1 2 