qdegross {degross}

Quantile function based on an object resulting from the estimation procedure in degross.

Description

Quantile function based on an object resulting from the estimation procedure in degross.

Usage

qdegross(p, degross.fit, phi, get.se=FALSE, cred.level=.95, eps=1e-4)

Arguments

p

Scalar or vector of probabilities in (0,1) indicating the requested fitted quantiles Q(p) based on the density estimation results in degross.fit.

degross.fit

A degross.object generated using degross and containing the density estimation results.

phi

(Optional) vector of spline parameters for the log density (default: degross.fit$phi if missing).

get.se

Logical indicating if standard errors for Q(p) are requested (default: FALSE).

cred.level

Level of credible intervals for Q(p).

eps

Precision with which each quantile should be computed (default: 1e-4).

Value

A scalar or vector x of the same length as p containing the values Q(p) at which the cdf pdegross(x,degross.fit) is equal to p. When get.se is TRUE, a vector or a matrix containing the quantile estimate(s), standard errors and credible interval limits for Q(p) is provided.

Author(s)

Philippe Lambert [e-mail]

References

Lambert, P. (2021) Moment-based density and risk estimation from grouped summary statistics. arXiv:2107.03883.

See Also

degross.object, ddegross, pdegross, degross.

Examples

## Generate grouped data
sim = simDegrossData(n=3500, plotting=TRUE, choice=2)

## Create a degrossData object
obj.data = degrossData(Big.bins=sim$Big.bins, freq.j=sim$freq.j, m.j=sim$m.j)
print(obj.data)

## Estimate the density
obj.fit = degross(obj.data)

## Corresponding fitted quantiles
p = c(.01,.05,seq(.1,.9,by=.1),.95,.99) ## Desired probabilities
Q.p = qdegross(p,obj.fit) ## Compute the desired quantiles
print(Q.p) ## Estimated quantiles

## Compute the standard error and a 90% credible interval for the 60% quantile
Q.60 = qdegross(.60,obj.fit,get.se=TRUE,cred.level=.90) ## Compute the desired quantile
print(Q.60) ## Estimated quantile, standard error and credible interval