EPDfit: 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, using maximum likelihood estimation

Usage

EPDfit(
  data,
  tau,
  start = c(0.1, 1),
  warnings = FALSE,
  weights = rep(1, length(data))
)

Arguments

data	vector of observations
tau	the value for tau in the EPD distribution
start	vector of length 2 containing the starting values for the optimisation (default are c(.1,1)
warnings	logical indicating if possible warnings from the optimisation function are shown
weight	vector of (positive) weights
rho	parameter of Fraga Alves et al. (2003) estimate

Value

a list with 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, as well as tau

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, mu=1, alpha=.5)
w <- rgamma(100,10,10)
EPDfit(data=x, tau=-3.3, weights=w)

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