OpVaR (version 1.2)

fitWeights: Fitting the weights of the body and the tail for a spliced distribution

Description

Fitting the weights of the spliced distribution.

Usage

fitWeights(cell, thresh)

Arguments

cell

List containing the data in the component Loss

thresh

Threshold between the body and the tail.

Details

Given the threshold t, this function fits the weight on the body distribution as part of fitting the parameters of the spliced distribution. The weights depends only on the number of data points below and above the threshold, not on the distribution functions in the body and the tail.

See Also

fitThreshold, fitSpliced

Examples

# NOT RUN {
    data(lossdat)
    thresh<-quantile(lossdat[[1]]$Loss, 0.9)
    w<-fitWeights(lossdat, thresh)
    
  
# }