thresholds_fit: Fit a nonparametric distribution on tabulated data with...

In thomasblanchet/gpinter: Generalized Pareto Interpolation

Fit a nonparametric distribution on tabulated data with thresholds only

Description

Estimate a distribution nonparametrically based on tabulations of a distribution which include:

• fractiles of the data,

• the corresponding thresholds.

Usage

thresholds_fit(
  p,
  threshold,
  average = NULL,
  last_bracketshare = NULL,
  last_bracketavg = NULL,
  last_invpareto = NULL,
  bottom_model = NULL,
  lower_bound = 0,
  binf = NULL,
  fast = FALSE
)

Arguments

p	A vector of values in [0, 1].
threshold	The quantiles corresponding to p.
average	The average over the entire distribution. Use NULL for unknown. (Default is NULL.)
last_bracketshare	The share of the last bracket. Use NULL for unknown. (Default is NULL.)
last_bracketavg	The average in the last bracket. Use NULL for unknown. (Default is NULL.)
last_invpareto	The inverted Pareto coefficient at the last threshold. Use NULL for unknown. (Default is NULL.)
bottom_model	Which model to use at the bottom of the distribution? Only relevant if min(p) >= 0. Either "gpd" for the generalized Pareto distribution, "hist" for histogram density, or "dirac". Default is "hist" if min(threshold) > 0, "dirac" if min(threshold) == 0 and "gpd" otherwise.
lower_bound	Lower bound of the distribution. Only relevant if min(p) > 0. Default is 0.
binf	The asymptotic value of the inverted Pareto coefficient. If NULL, it is estimated from the data (recommended, unless the estimated value implies infinite mean). Default is NULL.
fast	Use a faster but less precise method (split-histogram). Default is FALSE.

Value

An object of class gpinter_dist_orig.

Author(s)

Thomas Blanchet, Juliette Fournier, Thomas Piketty

thomasblanchet/gpinter documentation built on Aug. 27, 2024, 3:11 p.m.