quantreg: ParetoTest – R documentation

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ParetoTest

Estimation and Inference on the Pareto Tail Exponent for Linear Models

Description

Estimation and inference about the tail behavior of the response in linear models are based on the adaptation of the univariate Hill (1975) and Pickands (1975) estimators for quantile regression by Chernozhukov, Fernandez-Val and Kaji (2018).

Usage

ParetoTest(formula, tau = 0.1, data = NULL, flavor = "Hill", m = 2, cicov = .9, ...)

Arguments

`formula`	a formula specifying the model to fit by `rq`
`tau`	A threshold on which to base the estimation
`data`	a data frame within which to interpret the formula
`flavor`	Currently limited to either "Hill" or "Pickands"
`m`	a tuning parameter for the Pickands method .
`cicov`	Desired coverage probability of confidence interval.
`...`	other arguments to be passed to `summary.rq`. by default the summary method is the usual xy bootstrap, with `B = 200` replications.

Value

an object of class ParetoTest is returned containing:

`z`	A named vector with components: the estimate, a bias corrected estimate, a lower bound of the confidence interval, an upper bound of the confidence interval, and a Bootstrap Standard Error estimate.
`tau`	The tau threshold used to compute the estimate

References

Chernozhukov, Victor, Ivan Fernandez-Val, and Tetsuya Kaji, (2018) Extremal Quantile Regression, in Handbook of Quantile Regression, Eds. Roger Koenker, Victor Chernozhukov, Xuming He, Limin Peng, CRC Press.

Hill, B. M. (1975). A simple general approach to inference about the tail of a distribution. The Annals of Statistics 3(5), 1163-1174.

Pickands, J. (1975). Statistical inference using extreme order statistics. The Annals of Statistics 3(1), 119-131.

Examples

n = 500
x = rnorm(n)
y = x + rt(n,2)
Z = ParetoTest(y ~ x, .9, flavor = "Pickands")

quantreg

Quantile Regression

v5.85

GPL (>= 2)

Authors

Roger Koenker [cre, aut], Stephen Portnoy [ctb] (Contributions to Censored QR code), Pin Tian Ng [ctb] (Contributions to Sparse QR code), Blaise Melly [ctb] (Contributions to preprocessing code), Achim Zeileis [ctb] (Contributions to dynrq code essentially identical to his dynlm code), Philip Grosjean [ctb] (Contributions to nlrq code), Cleve Moler [ctb] (author of several linpack routines), Yousef Saad [ctb] (author of sparskit2), Victor Chernozhukov [ctb] (contributions to extreme value inference code), Ivan Fernandez-Val [ctb] (contributions to extreme value inference code), Brian D Ripley [trl, ctb] (Initial (2001) R port from S (to my everlasting shame -- how could I have been so slow to adopt R!) and for numerous other suggestions and useful advice)

Initial release