bde (version 1.0.1.1)

MacroBetaChen99Kernel: Class "MacroBetaChen99Kernel"

Description

This class deals with the density-wise normalization (macro beta) of the Chen's 99 Kernel estimator (as described in Gourierous and Monfort, 2006). The kernel estimator is computed using the provided data samples. Using this kernel estimator, the methods implemented in the class can be used to compute densities, values of the distribution function, quantiles, sample the distribution and obtain graphical representations.

Objects from the Class

Objects can be created by using the generator function macroBetaChen99Kernel.

Slots

dataPointsCache:

a numeric vector containing points within the [lower.limit,upper.limit] interval

densityCache:

a numeric vector containing the density for each point in dataPointsCache

distributionCache:

a numeric vector used to cache the values of the distribution function. This slot is included to improve the performance of the methods when multiple calculations of the distribution function are used

dataPoints:

a numeric vector containing data samples within the [lower.limit,upper.limit] interval. These data samples are used to obtain the kernel estimator

b:

the bandwidth of the kernel estimator

modified:

if TRUE, the modified version of the kernel estimator is used

normalizationConst:

this slot is used to save the density-wise normalization constant. It is only for internal use

lower.limit:

a numeric value for the lower limit of the bounded interval for the data

upper.limit:

a numeric value for the upper limit of the bounded interval for the data

Methods

density

See "density" for details

distribution

See "distribution" for details

quantile

See "quantile" for details

rsample

See "rsample" for details

plot

See "plot" for details

getdataPointsCache

See "getdataPointsCache" for details

getdensityCache

See "getdensityCache" for details

getdistributionCache

See "getdistributionCache" for details

getdataPoints

See "getdataPoints" for details

getb

See "getb" for details

getmodified

See "getmodified" for details

References

Chen, S. X. (1999). Beta kernel estimators for density functions. Computational Statistics & Data Analysis, 31, 131-145.

Gourieroux, C. and Monfort, A. (2006). (Non) consistency of the Beta Kernel Estimator for Recovery Rate Distribution. Working Paper 2006-31, Centre de Recherche en Economie et Statistique.

Examples

# NOT RUN {
# create the model 
kernel.noModified <- macroBetaChen99Kernel(dataPoints = tuna.r, b = 0.01,
                        modified = FALSE)
kernel.Modified <- macroBetaChen99Kernel(dataPoints = tuna.r, b = 0.01,
                        modified = TRUE)

# examples of usual functions
density(kernel.noModified,0.5)
density(kernel.Modified,0.5)

distribution(kernel.noModified,1,discreteApproximation=FALSE)
distribution(kernel.noModified,1,discreteApproximation=TRUE)
 
distribution(kernel.Modified,1,discreteApproximation=FALSE)
distribution(kernel.Modified,1,discreteApproximation=TRUE)
 
# graphical representation
hist(tuna.r,freq=FALSE,main="Chen99 Kernels Tuna Data")
lines(kernel.noModified, col="red",lwd=2)
lines(kernel.Modified,col="blue",lwd=2)

# graphical representation using ggplot2 
graph <- gplot(list("noModified"=kernel.noModified, 
          "modified"=kernel.Modified), show=TRUE)
# }