ecdfHT-package {ecdfHT}R Documentation

ecdfHT: A package to plot an empirical cdf for heavy tailed data

Description

The ecdfHT package computes and plot a transformed empirical cdf for data. This is useful because a standard empirical cdf (ecdf) gives little information about the tails of the data when there are extreme values.

Details

The transform is nonparametric: linear in the middle of the data and matched to a log-log transform on the tails, where the tail regions are determined by quantiles. If the data has power law behavior on the tails, the plot is linear on those tails, so this plot can be used as a graphical diagnostic to determine if a data set is heavy tailed.

In addition, there are functions to

I will try to fix the code if you provide a simple demonstration of a bug. Polite suggestions for improvements will be considered if there is time available.

See Also

ecdfHT for a basic plot, ecdfHT.draw for annotations and additions to a basic plot, ecdfHT.fit to fit a semi-parametric model to the data, pecdfHT to compute the cdf, pdf, quantiles and simulate from a semi-parametric model, ecdfHT.multivar for multivariate generalizations.


[Package ecdfHT version 0.1.1 Index]