FatTailsR (version 1.7-5)

elevenprobs: Eleven, Seven, Five Probabilities

Description

Extract from a dataset X a vector of 11, 7 or 5 probabilities:

• c(p1, p2, p3, 0.25, 0.35, 0.50, 0.65, 0.75, 1-p3, 1-p2, 1-p1)

• c(p1, p2, 0.25, 0.50, 0.75, 1-p2, 1-p1)

• c(p1, 0.25, 0.50, 0.75, 1-p1)

where p1, p2 and p3 are the most extreme probabilities of the dataset X with values finishing either by .x01 or .x025 or .x05. Parameters names are displayed if parnames = TRUE.

Usage

elevenprobs(X, parnames = FALSE)
sevenprobs(X, parnames = FALSE)
fiveprobs(X, parnames = FALSE)

Arguments

X

numeric. Vector of quantiles.

parnames

boolean. Output parameter vector with or without names.

See Also

fitkienerX, estimkiener11.

Examples

# NOT RUN {
require(timeSeries)

## DS
DS  <- getDSdata()
for (j in 1:16) { print(round(elevenprobs(DS[[j]]), 6)) }
z   <- cbind(t(sapply(DS, elevenprobs)), sapply(DS, length))
colnames(z) <- c("p1","p2","p3","p.25","p.35","p.50","p.65","p.75","1-p3","1-p2","1-p1","length")
z

## Choose j in 1:16
j   <- 1
X   <- sort(DS[[j]])
leX <- logit(eX <- elevenprobs(X))
lpX <- logit(ppoints(length(X), a = 0))
plot(X, lpX)
abline(h = leX, lty = 3)
mtext(eX, side = 4, at = leX, las = 1, line = -3.3)



# }