I would like to fit a Pareto Distribution and I am using the following
codes.
I thought the fitted (fit1) should be the fitted value for the data, is
it
correct? As the result of the "fitted" turns out to be a single value for
all.
fit=vglm(ycf1 ~ 1, pareto1(location=alpha), trace=TRUE, crit="c")
fitted(fit)
The result is
fitted(fit)
[,1]
[1,] 0.07752694
[2,] 0.07752694
[3,] 0.07752694
[4,] 0.07752694
[5,] 0.07752694
[6,] 0.07752694
[7,] 0.07752694
[8,] 0.07752694
[9,] 0.07752694
[10,] 0.07752694
[11,] 0.07752694
[12,] 0.07752694
[13,] 0.07752694
Could anybody give me some advice?
I don't have whatever package function 'vglm' comes from (did you
follow the instructions in the last two lines of your post?), but you
can fit a GPD and get fitted values for it by some such approach as
this:
library(POT)
threshold <- 0 # probably
para <- fitgpd(ycf1, threshold, method="pwmu")$param
ycf1.fit <- qgpd( ppoints(ycf1, a=0.44), threshold, para[1], para[2])
Note that the above code contains my own preferences for fitting
method and plotting positions: yours may differ.
J. R. M. Hosking