gpd_bottom_parameters: Estimate parameters of the parameters of the generalized...

In thomasblanchet/gpinter: Generalized Pareto Interpolation

Estimate parameters of the parameters of the generalized Pareto distribution for the bottom of the distribution

Description

Below the first threshold, we extrapolate the curve using a generalized Pareto distribution. The three parameters of the distribution are chosen so as to ensure the continuity and derivability of the quantile function, and to match the average.

Usage

gpd_bottom_parameters(x1, y1, s1, a1, average)

Arguments

x1	The first interpolation point.
y1	The value of the function at the first interpolation point.
s1	The value of the first derivative at the first interpolation point.
a1	The value of the second derivative at the first interpolation point.
average	The average over the entire distribution.

Value

A list with the three parameters: mu, sigma and mu.

Author(s)

Thomas Blanchet, Juliette Fournier, Thomas Piketty

thomasblanchet/gpinter documentation built on Nov. 29, 2022, 4:32 a.m.