CondMomsZ {MGBT}

Conditional Moments: N.B. Moments employ only observations above Xsi

Description

Compute the Z-conditional moments (standard normal distributed moments) based on only those (n - r) observations above a threshold X_{si} for a sample size of n and r number of truncated observations. The first moment is gtmoms(xsi,1), which is in the first returned column. The second moment is

  (gtmoms(xsi,2) - gtmoms(xsi,1)^2)/(n-r)

that is in the second returned column. Further mathematical details are available under gtmoms.

Usage

CondMomsZ(n, r, xsi)

Arguments

n

The number of observations;

r

The number of truncated observations; and

xsi

The lower threshold (see gtmoms).

Value

The value a two-column, one-row R matrix.

Note

The CondMomsZ function appears to not be used for any purpose. Only the CondMomsChi2 function is needed for MGBT. The author WHA hypothesizes that TAC has the simple logic of this function constructed in long hand as needed within other functions—Rigorous inquiry of TAC's design purposes is not possible.

Author(s)

W.H. Asquith consulting T.A. Cohn sources

Source

LowOutliers_jfe(R).txt, LowOutliers_wha(R).txt, P3_089(R).txt—Named CondMomsZ

References

Cohn, T.A., 2013–2016, Personal communication of original R source code: U.S. Geological Survey, Reston, Va.

See Also

CondMomsChi2, gtmoms

Examples

CondMomsZ(58, 2, -3.561143)
#             [,1]       [,2]
#[1,] 0.0007033727 0.01781241