gpd_top_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 top of the distribution

Description

Above the last 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 in the last bracket.

Usage

gpd_top_parameters(xn, yn, sn, an)

Arguments

xn	The last interpolation point.
yn	The value of the function at the last interpolation point.
sn	The value of the first derivative at the last interpolation point.
an	The value of the second derivative at the last interpolation point.

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.