The Semi-Parametric Distribution (spd) package

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Description

The Semi-Parametric Distribution is a piecewise distribution constructed by parametrically modelling the tails of the distribution using an appropriate distribution (e.g. generalized pareto) and the interior by kernel methods. The package implements fit, distribution, density, quantile and random number generation. Currently, only the generalized pareto distribution is implemented for modelling the tails, but the package can easily be extended.

Details

Package: spd
Type: Package
Version: 2.0-0
Date: 2013-12-15
License: GPL
LazyLoad: yes
Depends: methods

The main functionality of the package is contained in the SPD class, created by calling spdfit. Methods for density dspd, distribution pspd, quantile qspd and random number generation rspd exist and take 2 main arguments, the input value and the fitted object.
The spd package uses the "bkde" function from the package KernSmooth for the kernel interior fit, while for the tail fit borrows from the fExtremes package and implements a locally modified copy of the gpd functionality and methods.

Author(s)

Alec Stephenson for the functions from R\'s "evd-package",
Alec Stephenson for the functions from R\'s "evir-package",
Alexander McNeil for the EVIS functions underlying the "evir-package",
Diethelm Wuertz for the functions from R\'s "fExtremes-package",
M.P.Wand and M.C.Jones for the functions from R\'s "KernSmooth-package",
Alexios Ghalanos for this package.

References

Carmona, R. and J. Morrisson (2001). Heavy Tails and Copulas with Evanesce, ORFE Tech. Report, Princeton University
Carmona, R. (2001). Statistical Analysis of Financial Data, with an implementation in Splus
Embrechts, P., Klueppelberg, C., Mikosch, T. (1997); Modelling Extremal Events, Springer

Examples

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## Not run: 
library(MASS)
x<-SP500/100
fit<-spdfit(x)
show(fit)

## End(Not run)