| select.k.func {EXRQ} | R Documentation |
Selection of the Tuning Parameter k
Description
This function selects the tuning parameter k, the number of upper order statistics involved in Hill estimator of EVI among a grid of points following the method described in Section 3.3 of Wang and Li (2013). The method selects k as the value that minimizes the discrepancy between the estimated x-dependent EVI on the transformed scale and lam times the estimated x-dependent EVI on the original scale
Usage
select.k.func(y, x, Lam.y, lam, a, max.tau, grid.k, n)
Arguments
y |
a vector of n untransformed responses |
x |
a n x p matrix of n observations and p predictors |
Lam.y |
a vector of n power-transformed responses |
lam |
the power-transformation parameter |
a |
location shift parameter in the power transformation (introduced to avoid negative y values) |
max.tau |
the upper bound of the intermediate quantile levels |
grid.k |
the grid for the number of upper order statistics involved in Hill estimator |
n |
the number of observations |
Value
the selected k is returned
References
Wang, H. and Li, D. (2013). Estimation of conditional high quantiles through power transformation. Journal of the American Statistical Association, 108, 1062-1074.