EPD: Fit the Extended Pareto distribution to a vector of...

In freakonometrics/TopIncome: Estimation of Top Incomes Using Pareto Models

Description

Fit the Extended Pareto distribution to a vector of observations, with weights

Usage

EPD(
  data,
  weights = rep(1, length(data)),
  rho = -1,
  start = NULL,
  direct = TRUE,
  warnings = FALSE,
  ...
)

Arguments

data	vector of observations
weights	vector of (positive) weights
rho	parameter of Fraga Alves et al. (2003) estimate
start	vector of length 2 containing the starting values for the optimisation
direct	logical indicating if the parameters are obtained by directly maximising the log-likelihood function
warnings	logical indicating if possible warnings from the optimisation function are shown

Value

a list with k the number of observations used, gamma the vector of the corresponding estimates for the tail parameter of the EPD, kappa the vector of the corresponding MLE estimates for the kappa parameter of the EPD and tau the vector of the corresponding estimates for the second order tail index parameter of the EPD using Hill estimates and values for rho

Source

adapted from https://github.com/TReynkens/ReIns/blob/master/R/EPD.R Tom Reynkens, ReIns package version 1.0.7

Examples

set.seed(123)
x <- rpareto1(100,1,.5)
w <- rgamma(100,10,10)
EPD(data=x, weights=w)

freakonometrics/TopIncome documentation built on Oct. 16, 2021, 5:58 p.m.