qtailgpd: Calculate tail quantiles from GPD

In gbstat/tailqr: 'Fit Mixture of Quantile Regression and GPDs'

Description

Calculate tail quantiles from GPD

Usage

qtailgpd(taus, scale, shape, threshold = NULL, thresh_tau = NULL,
  type = c("upper", "lower"))

Arguments

taus	vector of quantiles to estimate (refers to cumulative probs of entire distribution, not just distribution of exceedances)
scale	Vector of fitted scale parameters, one for each date.
shape	Vector of fitted shape parameters, one for each date.
threshold	Vector of thresholds above which the GPD was estimated
thresh_tau	Corresponding estimate of CDF at threshold parameters
type	(string) either "upper" for upper tail or "lower" for lower tail.

Value

matrix of quantile estimates (rows: dates, columns: taus)

gbstat/tailqr documentation built on May 8, 2019, 5:42 p.m.