=================================================================================???
??? ??? ?
### RobASt release 1.1 ###
=================================================================================???
??? ??? ?
Updates for the packages of the RobASt family are now avaialable on CRAN in
version >= 1.1.0
Most importantly, we have (finally) released on CRAN a (long announced) new
package
?????????????????????? "RobExtremes"
in the RobASt family of packages.
+ It provides (speeded up) optimally-robust estimators [MBRE, OMSE, RMXE]for
Generalized Extreme Value
[GEV] distributions, Generalized Pareto distributions [GPD], Pareto
distributions,
+ As other examples of L2 differentiable Scale-shape families, it also provides
these (speeded up) estimators
? for Weibull and Gamma distributions.
+ It has robust (high-breakdown) starting estimators for
? ? ? ? ? ? ? ?? - GPD (PickandsEstimator, medkMAD, medSn, medQn)
? ? ? ? ? ? ??? - GEV (PickandsEstimator)
? ? ? ? ? ? ??? - Pareto (Cram?r-von-Mises-Minimum-Distance-Estimator)
? ? ? ? ? ? ? ? - Weibull (the quantile based estimator of Boudt/Caliskan/Croux)
+ For all these families, of course, MLEs and Minimum-Distance-Estimators are
also available through
?? package distrMod
+ We bridge to the diagnostics provided by package ismev, i.e. our return
objects can be plugged into the
?? diagnostics of this package
+ We have the usual diagnostic plots from package RobAStBase, i.e.
?????????? - Outylingness plots
?????????? - IC plots
? ? ? ??? - Information plots?
? ? ? ??? - compareIC plots
? ? ? ?? - Cniperpoint plots (from ROptEst)
? but also (adopted from package distrMod)
? ? ? ?? - qqplots (with confidence bands)
? ? ??? - returnlevel plots
+ As a starting point you may look at the included script
"RobFitsAtRealData.R" in the scripts folder of
?? the package,? accessible by
file.path(system.file(package="RobExtremes"),
"scripts/RobFitsAtRealData.R")
This is joint work with Nataliya Horbenko (whose PhD thesis went into this
ackage to a large extent),
nataliya.horbenko at gmail.de, with contributions by Dasha Pupashenko, Misha
Pupashenko, Gerald
Kroisandt, Eugen Massini, Sascha Desmettre and Bernhard Spangl in the framework
of project "Robust
Risk Estimation" (2011-2016) funded by Volkswagen foundation (and
gratefully ackknowledged).
Thanks also goes to the maintainers of CRAN, in particully to Uwe Ligges who
greatly helped us with
finding an appropriate way to store the database of interpolating functions
which allow the speed up
-- this is now package RobAStRDA on CRAN.
References
N. Horbenko, P. Ruckdeschel, T. Bae (2011): Robust Estimation of Operational
Risk. Journal of Operational Risk 6(2), 3-30.
Ruckdeschel, P. and Horbenko, N. (2011): Optimally-Robust Estimators in
Generalized Pareto Models. Statistics. 47(4),
762?791.
Ruckdeschel, P. and Horbenko, N. (2012): Yet another breakdown point notion:
EFSBP ?illustrated at scale-shape
?????????????? models. Metrika, 75(8), 1025?1047.
=================================================================================???
??? ??? ?
In the other packages of the RobASt family of pkgs, the most important changes
are:
As in distr 2.7, wherever possible we now use q.l internally instead of q to
????? provide functionality in IRKernel
RobAStBase:
- we enhanced our diagnostic plots:
? + all diagnostics (including qqplot and returnlevelplot) have adopted the same
argument naming
??? (and selection paradigm) ?
? + wherever possible arguments are vectorized to allow point - individual
attributes
? + plot methods now return an S3 object of class
\code{c("plotInfo","DiagnInfo")}, i.e., a list
??? containing the information needed to produce the respective plot, which at a
later stage could
?? be used by different graphic engines (like, e.g.ggplot) to produce the plot
in a different framework.
? + new methods for returnlevelplot for RobModel, InfRobModel, kStepEstimate (as
qqplot)
ROptEst:
? + new wrapper functions RMXEstimator, OBREstimator, MBREstimator, OMSEstimator
? + several tweaks to speed up things?
RobAStRDA:
? + the Lagrange multiplier interpolaters allowing for speed up in our
opt-robust
??? estimators have been re-built as the current .rda file was corrupted
???
For details please see the NEWS files in the packages, available as
NEWS("<pkgname>").
Best regards from the main developpers & maintainers,
Peter Ruckdeschel (peter.ruckdeschel at uni-oldenburg.de) & Matthias Kohl
(matthias.kohl at stamats.de)
--
%******************************************************************
% Prof. Dr. Peter Ruckdeschel
% Institut fuer Mathematik, Fakultaet V - Mathematik und Naturwissenschaften
% Carl von Ossietzky Universitaet Oldenburg,
% Postfach 25 03, 26111 Oldenburg
% Office: Wechloy W1 02-227 Tel: +49 (0)441 798-3240 Fax: +49 (0)441 798-193240
% peter.ruckdeschel at uni-oldenburg.de
% http://www.uni-oldenburg.de/peter-ruckdeschel
%******************************************************************
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