拟合广义帕累托 model 的阈值

Question

Please I need the R code for setting a threshold while fitting a generalized pareto distribution. I don't seem to be getting it right.

Answer 1

I've just made a R package which exactly serves this purpose, namely gfiExtremes (soon on CRAN).

remotes::install_github("stla/gfiExtremes", build_vignettes = TRUE)

It allows to perform inference on the quantiles for a generalized Pareto distribution model and on the parameters of the Pareto exceedance distribution, with or without assuming the exceedance threshold is known.

Usage

The data must be given as a numeric vector, say x .

library(gfiExtremes)
gf <- gfigpd2(x, beta = c(0.99, 0.995, 0.999))
summary(gf) # provides estimates and confidence intervals of the beta-quantiles
thresholdEstimate(gf) # an estimate of the threshold

See the examples in the package documentation and the vignette for more info.