gpd.bcor {mev} | R Documentation |
Bias correction for GP distribution
Description
Bias corrected estimates for the generalized Pareto distribution using Firth's modified score function or implicit bias subtraction.
Usage
gpd.bcor(par, dat, corr = c("subtract", "firth"), method = c("obs", "exp"))
Arguments
par |
parameter vector ( |
dat |
sample of observations |
corr |
string indicating which correction to employ either |
method |
string indicating whether to use the expected ( |
Details
Method subtract
solves
for , using the first order term in the bias expansion as given by
gpd.bias
.
The alternative is to use Firth's modified score and find the root of
where is the score vector,
is the first order bias and
is either the observed or Fisher information.
The routine uses the MLE as starting value and proceeds
to find the solution using a root finding algorithm.
Since the bias-correction is not valid for , any solution that is unbounded
will return a vector of
NA
as the bias correction does not exist then.
Value
vector of bias-corrected parameters
Examples
set.seed(1)
dat <- rgp(n=40, scale=1, shape=-0.2)
par <- gp.fit(dat, threshold=0, show=FALSE)$estimate
gpd.bcor(par,dat, 'subtract')
gpd.bcor(par,dat, 'firth') #observed information
gpd.bcor(par,dat, 'firth','exp')