phi: Interpolation function from generalized Pareto interpolation

In thomasblanchet/gpinter: Generalized Pareto Interpolation

Interpolation function from generalized Pareto interpolation

Description

Full interpolation function. It includes the part of the distribution estimated by spline interpolation, and the parts estimated via the generalized Pareto distribution. This method can only be applied to objects of class gpinter_dist_orig, which are returned by tabulation_fit and share_fit.

Usage

phi(dist, x, ...)

Arguments

dist	A gpinter_dist_orig object, as returned by tabulation_fit or share_fit.
x	The function evaluation point(s).
...	Ignored.

Details

If X follows the distribution that was interpolated using tabulation_fit or share_fit, then the interpolation function correspond to:

p \mapsto -\log≤ft(\int_{1 - \exp(-x)}^{1} Q(u) du\right)

Value

The value of the interpolation function at x.

Author(s)

Thomas Blanchet, Juliette Fournier, Thomas Piketty

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