Hello all, I am trying to estimate the cumulative distribution function for a single stock return time series. A piecewise estimation is composed of three parts: parametric generalized Pareto (GP) for the lower tail (10% of the observation), non-parametric kernel-smoothed interior (80% of the observations), and GP for the upper tail (10%). I wonder if anyone has clue about this in R. The software of Matlab has a function called 'paretotails' in the Econometrics Toolbox to do the estimation. On this site, a couple of old messages were related but no clear answers were given. Any help is greatly appreciated. Edwin Sun
Piecewise distribution function estimation with Generalized Pareto for tail
3 messages · Changyou Sun, Alexios Ghalanos, Edwin Sun
Try the spd (semi-parametric distribution) package on CRAN. Regards, Alexios
On 06/07/2011 22:03, Changyou Sun wrote:
Hello all, I am trying to estimate the cumulative distribution function for a single stock return time series. A piecewise estimation is composed of three parts: parametric generalized Pareto (GP) for the lower tail (10% of the observation), non-parametric kernel-smoothed interior (80% of the observations), and GP for the upper tail (10%). I wonder if anyone has clue about this in R. The software of Matlab has a function called 'paretotails' in the Econometrics Toolbox to do the estimation. On this site, a couple of old messages were related but no clear answers were given. Any help is greatly appreciated. Edwin Sun
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Thanks a lot. That is what I need. - Edwin -- View this message in context: http://r.789695.n4.nabble.com/Piecewise-distribution-function-estimation-with-Generalized-Pareto-for-tail-tp3649998p3650070.html Sent from the Rmetrics mailing list archive at Nabble.com.