tails_q: Quantile-Based Tails Comparison

In vlyubchich/funtimes: Functions for Time Series Analysis

Quantile-Based Tails Comparison

Description

Compare right tails of two sample distributions using a quantile-based approach (QBA); see \insertCiteSoliman_etal_2014_insurance;textualfuntimes, \insertCiteSoliman_etal_2015_insurance;textualfuntimes, and \insertCiteLyubchich_Gel_2017_insurance;textualfuntimes.

Usage

tails_q(x0, x1, q = 0.99)

Arguments

x0, x1	vectors of the same length (preferably). Tail in x1 is compared against the tail in x0.
q	a quantile defining the right tail for both x0 and x1. Values above the thresholds quantile(x0, probs = q) and quantile(x1, probs = q) are considered as the respective right tails.

Details

Sturges' formula is used to calculate the number of intervals (k) to split the upper 100(1 - q)\ (the right tails). Then, each tail is divided into equally-filled intervals with a quantile step d=(1 - q)/k. Pk reports the difference between corresponding intervals' centers obtained from x0 and x1.

Value

A list with two elements:

d	the step in probabilities for defining the quantiles.
Pk	vector of differences of the intervals' centers.

Author(s)

Vyacheslav Lyubchich, Yulia R. Gel

References

\insertAllCited

See Also

i.tails

Examples

x0 <- rnorm(1000)
x1 <- rt(1000, 5)
tails_q(x0, x1)

vlyubchich/funtimes documentation built on May 6, 2023, 3:21 a.m.