search for: paretotails

...omposed of three parts: parametric generalized Pareto (GP) for the lower tail (10% of the observation), non-parametric kernel-smoothed interior (80% of the observations), and GP for the upper tail (10%). I wonder if anyone has clue about this in R. The software of Matlab has a function called 'paretotails' in the Econometrics Toolbox to do the estimation. On this site, a couple of old messages were related but no clear answers were given. Thank you, Edwin Sun -- View this message in context: http://r.789695.n4.nabble.com/Piecewise-distribution-function-estimation-with-Generalized-Pareto-for-t...