search for: pgenpareto

...n passed to optim. What is weird is when I leave out the density correction (which is safe 99.9999% of the time as the chances of two identical losses is almost 0 (assuming no clustering/capping) ), I get a very similar result to my distribution-customized function which calls the proper plnorm or pgenpareto directly. When I add in the correction, the value is orders of magnitude higher, which not only affects the fit (slightly) but also affects the goodness of fit statistics. I have no idea why this happens, although in theory, if the function is pulling too many density values, it would return a high...

Hi, I would like to use the following codes to plot the CDF for pareto distribution. Before doing this, I have plot the emperical one. x <- seq(1.6, 3, 0.1) lines(x,pgpd(x, 1.544,0.4477557,), col="red") Could anyone give me some advice whether the above codes are correct? Many thanks. -- View this message in context:

...value. I'm wondering which function I can use to find the probability (like when I used the pgev). I've already tried to use the pgpd function from the evd library, but it kept giving me an error message (I don't remember exactly what), and I've tried to use the ppareto and pgenpareto function from the actuar package, but they did not work either (I think because the shape parameter has to be positive, which mine is not). Since the shape paremeter is less than 0, I believe that the GPD is of the beta type. If any of you could help me answer this quandry (I'm a bit o...