CITAN (version 2011.02-1)

rho.get: Kappa-index of a continuous probability distribution

Description

Numerically computes the kappa-index of a given continuous cumulative distribution function

Usage

rho.get(cdf, kappa, ..., tol=1e-20)

Arguments

cdf
a cumulative distribution function, e.g. ppareto2.
kappa
an increasing function, $\kappa$ (see Details), a so-called control function.
...
optional arguments to cdf.
tol
the desired accuracy (convergence tolerance).

Value

  • The function returns a single number.

Details

Let $F$ be a continuous c.d.f that is strictly increasing on $[a,b]$, where $a=\inf{x: F(x)>0}$ and $b=\sup{x: F(x)<1}$.< p="">

A control function is any function $\kappa:[0,1]\to[c,d]\subseteq[a,b]$ that is continuous and strictly increasing and which fulfills $\kappa(0)=c$ and $\kappa(1)=d$.

The $\kappa$-index of the distribution $F$ (Gagolewski, Grzegorzewski, 2010) is a number $\rho_\kappa\in(0,1)$ such that $$\rho_\kappa=1-F(\kappa(\rho_\kappa)).$$

It turns out that under certain conditions in a model of i.i.d. random variables the S-statistic associated with $\kappa$ is an asymptotically unbiased, normal and strongly consistent estimator of $\rho_\kappa$.

References

Gagolewski M., Grzegorzewski P., S-Statistics and Their Basic Properties, In: Borgelt C. et al (Eds.), Combining Soft Computing and Statistical Methods in Data Analysis, Springer-Verlag, 2010, 281-288.

See Also

phirsch, dhirsch, psstat, dsstat, Sstat, Sstat2

Examples

Run this code
kappa <- function(x) { pmax(0,pmin(x,1)) } # identity function on [0,1]
rho.get(ppareto2, kappa, 1, 1)             # golden ratio}

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