spd-package: The Semi-Parametric Distribution (spd) package
Description
The Semi-Parametric Distribution is a piecewise distribution
constructed by parametrically modelling the tails of the distribution
using an appropriate distribution (e.g. generalized pareto) and the interior by
kernel methods. The package implements fit, distribution, density,
quantile and random number generation. Currently, only the generalized pareto
distribution is implemented for modelling the tails, but the package can easily
be extended.
Details
|
Package: |
| spd |
|
Type: |
| Package |
|
Version: |
| 2.0-0 |
|
Date: |
| 2013-12-15 |
|
License: |
| GPL |
|
LazyLoad: |
| yes |
|
Depends: |
| methods |
The main functionality of the package is contained in the SPD
class, created by calling spdfit. Methods for density
dspd, distribution pspd, quantile qspd
and random number generation rspd exist and take 2 main arguments,
the input value and the fitted object.
The spd package uses the "bkde" function from the package KernSmooth for
the kernel interior fit, while for the tail fit borrows from the fExtremes
package and implements a locally modified copy of the gpd functionality and
methods.
References
Carmona, R. and J. Morrisson (2001). Heavy Tails and Copulas with Evanesce,
ORFE Tech. Report, Princeton University
Carmona, R. (2001). Statistical Analysis of Financial Data, with an
implementation in Splus
Embrechts, P., Klueppelberg, C., Mikosch, T. (1997); Modelling Extremal
Events, Springer