Description Usage Arguments Details Value Author(s) Examples
Function LDEstimator
provides a general way to compute
estimates for a given parametric family of probability measures
(with a scale and shape parameter) which
can be obtained by matching location and dispersion functionals
against empirical counterparts.
1 2 3 4 5 6  getShapeGrid(gridsize=1000, centralvalue=0.7,
withPos=TRUE, cutoff.at.0=1e4, fac = 2)
getSnGrid(xiGrid = getShapeGrid(), PFam=GParetoFamily(), low=0,
upp=1.01, accuracy = 10000, GridFileName="SnGrid.Rdata",
withPrint = FALSE)

gridsize 
integer; the size of the grid to be created. 
centralvalue 
numeric of length 1: the central value of the grid (for details see below). 
withPos 
logical of length 1; are negative values for the shape forbidden? 
cutoff.at.0 
numeric of length 1: How close may we come to 0? 
fac 
a scaling factor used for the respective grid values (see below). 
xiGrid 
numeric; grid of shape values. 
PFam 
an object of class 
low 
numeric; argument for 
upp 
numeric; argument for 
accuracy 
numeric; argument for 
GridFileName 
character; if 
withPrint 
logical of length 1: shall current shape value be printed out? 
getShapeGrid
is a helper function to produce an unequally spaced
grid of shape values xi, with the rationale that we need values close
to some typical values more often than values at the border. The code
starts with an equally spaced grid of size gridsize
from 0.5
to 10.25/gridsize
. This is reflected at 0.5
,
and a grid of respective quantiles of Norm(mean=centralvalue, sd=fac)
is produced—with the heuristic rational that most estimators will be
asymptotically normal around a typical value. If withPos
is TRUE,
negative values are cut off and replaced by respective higher quantiles of the
corresponding normal; similarly, values to close to 0 are replaced by values
between the cutoff value and the next admissible value and again by
respective higher normal quantiles.
getSnGrid
is a helper function to produce a grid of Sn
values
for a given grid of shape values and scale equal to 1 in a given
shapescale family.
This result of this function can then be used to speed
up calls to Sn
(or to medSn
) by providing particular methods
for Sn
.
For an example of such a particular method see the body of
getMethod("Sn", "GPareto")
where object
sng[["Generalized Pareto Family"]]
is just the result of a call
getSnGrid(xiGrid = getShapeGrid(), PFam=GParetoFamily())
which
has been stored in the namespace of package distrMod
.
getShapeGrid 
a numeric grid of xivalues. 
getSnGrid 
a grid, i.e.; a matrix with columns

Peter Ruckdeschel [email protected]
1 2 3 4 5 6 7 8 9  ## (empirical) Data
getShapeGrid(50)
head(getShapeGrid(withPos=FALSE))
## Not run:
### code used for the grid stored in the namespace of distrMod:
getSnGrid()
## End(Not run)

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