lmomco (version 2.2.5)

tlmrgpa: Compute Select TL-moment ratios of the Generalized Pareto

Description

This function computes select TL-moment ratios of the Generalized Pareto distribution for defaults of $\xi = 0$ and $\alpha = 1$. This function can be useful for plotting the trajectory of the distribution on TL-moment ratio diagrams of $\tau^{(t_1,t_2)}_2$, $\tau^{(t_1,t_2)}_3$, $\tau^{(t_1,t_2)}_4$, $\tau^{(t_1,t_2)}_5$, and $\tau^{(t_1,t_2)}_6$. In reality, $\tau^{(t_1,t_2)}_2$ is dependent on the values for $\xi$ and $\alpha$. If the message

Error in integrate(XofF, 0, 1) : the integral is probably divergent

occurs then careful adjustment of the shape parameter $\kappa$ parameter range is very likely required. Remember that TL-moments with nonzero trimming permit computation of TL-moments into parameter ranges beyond those recognized for the usual (untrimmed) L-moments.

Usage

tlmrgpa(trim=NULL, leftrim=NULL, rightrim=NULL, xi=0, alpha=1, kbeg=-.99, kend=10, by=.1)

Arguments

trim

Level of symmetrical trimming to use in the computations. Although NULL in the argument list, the default is 0---the usual L-moment ratios are returned.

leftrim

Level of trimming of the left-tail of the sample.

rightrim

Level of trimming of the right-tail of the sample.

xi

Location parameter of the distribution.

alpha

Scale parameter of the distribution.

kbeg

The beginning $\kappa$ value of the distribution.

kend

The ending $\kappa$ value of the distribution.

by

The increment for the seq() between kbeg and kend.

Value

An R list is returned.

See Also

quagpa, theoTLmoms

Examples

## Not run: 
# tlmrgpa(leftrim=7, rightrim=2, xi=0, alpha=31)
# tlmrgpa(leftrim=7, rightrim=2, xi=143, alpha=98) # another slow example
# ## End(Not run)
## Not run: 
#   # Plot and L-moment ratio diagram of Tau3 and Tau4
#   # with exclusive focus on the GPA distribution.
#   plotlmrdia(lmrdia(), autolegend=TRUE, xleg=-.1, yleg=.6,
#              xlim=c(-.8, .7), ylim=c(-.1, .8),
#              nolimits=TRUE, nogev=TRUE, noglo=TRUE, nope3=TRUE,
#              nogno=TRUE, nocau=TRUE, noexp=TRUE, nonor=TRUE,
#              nogum=TRUE, noray=TRUE, nouni=TRUE)
# 
#   # Compute the TL-moment ratios for trimming of one
#   # value on the left and four on the right. Notice the
#   # expansion of the kappa parameter space from k > -1.
#   J <- tlmrgpa(kbeg=-3.2, kend=50, by=.05, leftrim=1, rightrim=4)
#   lines(J$tau3, J$tau4, lwd=2, col=2) # RED CURVE
#   # Notice the gap in the curve near tau3 = 0.1
# 
#   # Compute the TL-moment ratios for trimming of four
#   # values on the left and one on the right.
#   J <- tlmrgpa(kbeg=-1.6, kend=8, leftrim=4, rightrim=1)
#   lines(J$tau3, J$tau4, lwd=2, col=3) # GREEN CURVE
# 
#   # The kbeg and kend can be manually changed to see how
#   # the resultant curve expands or contracts on the
#   # extent of the L-moment ratio diagram.
# ## End(Not run)
## Not run: 
#   # Following up, let us plot the two quantile functions
#   LM  <- vec2par(c(0,1,0.99), type='gpa', paracheck=FALSE)
#   TLM <- vec2par(c(0,1,3.00), type='gpa', paracheck=FALSE)
#   F <- nonexceeds()
#   plot(qnorm(F),  quagpa(F, LM), type="l")
#   lines(qnorm(F), quagpa(F, TLM, paracheck=FALSE), col=2)
#   # Notice how the TLM parameterization runs off towards
#   # infinity much much earlier than the conventional
#   # near limits of the GPA.
# ## End(Not run)