ReturnEPD: Large Return Period associated to the Extended Pareto...

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

Description

Large Return Period associated to the Extended Pareto distribution

Usage

ReturnEPD(data, q, gamma, kappa, tau, ...)

Arguments

data	a vector of observations
q	the large quantile to estimate 1/P[X>q]
gamma	vector of n-1 estimates for the EVD obtained from [EPD]
kappa	vector of n-1 estimates for the EVD obtained from [EPD]
tau	vector of n-1 estimates for the EVD obtained from [EPD]

Value

a list with k the vector of the values of the tail parameter k, R the vector of the corresponding return period and q the used large quantile

Source

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

Examples

set.seed(123)
x <- rpareto1(100, mu=1, alpha=1.5)
fit <- EPD(x)
ReturnEPD(data=x, q=.01, gamma=fit$gamma, kappa=fit$kappa, tau=fit$tau)

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