| gpdEst {RecordLinkage} | R Documentation |
Estimate Threshold from Pareto Distribution
Description
Fits a Pareto distribution to the distribution of weights and calculates a quantile on the fitted model as classification threshold.
Usage
gpdEst(Wdata, thresh = -Inf, quantil = 0.95)
Arguments
Wdata |
A numeric vector representing weights of record pairs. |
thresh |
Threshold for exceedances. |
quantil |
A real number between 0 and 1. The desired quantile. |
Details
The weights that exceed thresh are fitted to a
generalized Pareto distribution (GPD). The estimated parameters shape
and scale are used to calculate a classification threshold by the
formula
\mathit{thresh}+\frac{\mathit{scale}}{\mathit{shape}}
((\frac{n}{k}(1-\mathit{quantil}))^{-\mathit{shape}} -1)
where n is the total number of weights and k the number of
exceedances.
Value
A real number representing the resulting classification threshold. It is assured that the threshold lies in a reasonable range.
Author(s)
Murat Sariyar
See Also
getParetoThreshold for user-level function