CITAN (version 2011.03-2)

pareto2.confint.rho: Two-sided exact confidence interval for the rho-index

Description

Computes the exact two-sided confidence interval for the $\rho$-index of a probability distribution in an $(X_1,\dots,X_n)$ i.i.d. Pareto-type II model with known scale parameter $s>0$. The confidence interval bases on the observed value of S-statistic w.r.t. to the given control function $\kappa$.

Usage

pareto2.confint.rho(v, kappa, s, n, conf.level=0.95, tol=1e-12)

Arguments

v

observed value of the S-statistic w.r.t. $\kappa$.

kappa

an increasing function, $\kappa$, a so-called control function.

s

scale parameter, $s>0$.

n

sample size.

conf.level

confidence level; defaults 0.95.

tol

the desired accuracy (convergence tolerance).

Value

• Vector of length 2 with the computed bounds of the confidence interval.

Details

For more information see man page on rho.get, Sstat and the paper (Gagolewski, Grzegorzewski, 2010).

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

ppareto2, pareto2.confint.rho.approx, Sstat, pareto2.confint.rho.lower, pareto2.confint.rho.upper, pareto2.confint.rho, rho.get