practechniques: practechniques - Practical Actuarial Techniques
In PaulMTeggin/practechniques: Functions for the Practical Actuarial Techniques online book
practechniques R Documentation
practechniques - Practical Actuarial Techniques
Description
A companion R package for the online book Practical Actuarial Techniques (in development).
Details
THIS IS A PRE-RELEASE VERSION AND NO RELIANCE WHATSOEVER MAY BE PLACED ON IT.
At the time of writing (May 2022) the main feature is a framework
using Monte Carlo simulation to calculate p-values for statistical goodness-of-fit tests
where the parameters have been estimated from the data.
This is a generalisation of the approach in the
KScorrect package.
The approach has been generalised in three ways:
General distributions are supported, rather than the closed list used by KScorrect.
Multiple statistical tests are supported, not just KS.
Testing can be performed against distributions fitted to overlapping data, not just IID data,
using the idea of a Gaussian copula to induce autocorrelation consistent with overlapping data suggested in section 4.2 of the
2019 paper
by the Extreme Events Working Party
of the UK Institute and Faculty of Actuaries.
The function gof_test_sim is the main entry point and abstracts some of the implementation details.
gof_test_sim_uniparam is the lower-level function that performs the calculations.
PaulMTeggin/practechniques documentation built on Aug. 19, 2023, 4:44 p.m.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
| practechniques | R Documentation |
practechniques - Practical Actuarial Techniques
Description
A companion R package for the online book Practical Actuarial Techniques (in development).
Details
THIS IS A PRE-RELEASE VERSION AND NO RELIANCE WHATSOEVER MAY BE PLACED ON IT.
At the time of writing (May 2022) the main feature is a framework using Monte Carlo simulation to calculate p-values for statistical goodness-of-fit tests where the parameters have been estimated from the data.
This is a generalisation of the approach in the
KScorrect package.
The approach has been generalised in three ways:
General distributions are supported, rather than the closed list used by
KScorrect.Multiple statistical tests are supported, not just KS.
Testing can be performed against distributions fitted to overlapping data, not just IID data, using the idea of a Gaussian copula to induce autocorrelation consistent with overlapping data suggested in section 4.2 of the 2019 paper by the Extreme Events Working Party of the UK Institute and Faculty of Actuaries.
The function gof_test_sim is the main entry point and abstracts some of the implementation details.
gof_test_sim_uniparam is the lower-level function that performs the calculations.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
Embedding an R snippet on your website
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.