hist_interpol: Histogram interpolation

In thomasblanchet/gpinter: Generalized Pareto Interpolation

Histogram interpolation

Description

This function interpolates the distribution over a bracket with an histogram (that is, piecewise constant density with two values, and piecewise linear quantile function with two slopes).

Usage

hist_interpol(p0, p1, q0, q1, average)

Arguments

p0	A value in [0, 1].
p1	A value in [0, 1].
q0	The p0-th quantile.
q1	The p1-th quantile.
average	The average value in the bracket.

Value

A list with the following components:

average

The average inside the bracket.

p0

A value in [0, 1].

p1

A value in [0, 1].

q0

The p0-th quantile.

q1

The p1-th quantile.

pstar

A value in [p0, p1].

qstar

A value in [q0, q1]: the pstar-th quantile.

f0

The value of the density in [q0, qstar].

f1

The value of the density in [qstar, q1].

Author(s)

Thomas Blanchet, Juliette Fournier, Thomas Piketty

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