[R] Fitted Value Pareto Distribution

[J. R. M. Hosking]

livia wrote:
> I would like to fit a Pareto Distribution and I am using the following codes. 
> 
> I thought the fitted (fit1) should be the fitted value for the data, is it
> correct? As the result of the "fitted" turns out to be a single value for
> all. 
> 
> fit=vglm(ycf1 ~ 1, pareto1(location=alpha), trace=TRUE, crit="c") 
> fitted(fit) 
> 
> The result is 
> fitted(fit)
>             [,1]
>  [1,] 0.07752694
>  [2,] 0.07752694
>  [3,] 0.07752694
>  [4,] 0.07752694
>  [5,] 0.07752694
>  [6,] 0.07752694
>  [7,] 0.07752694
>  [8,] 0.07752694
>  [9,] 0.07752694
> [10,] 0.07752694
> [11,] 0.07752694
> [12,] 0.07752694
> [13,] 0.07752694
> 
> Could anybody give me some advice? 
> 

I don't have whatever package function 'vglm' comes from (did you
follow the instructions in the last two lines of your post?), but you
can fit a GPD and get fitted values for it by some such approach as
this:

   library(POT)
   threshold <- 0  # probably
   para <- fitgpd(ycf1, threshold, method="pwmu")$param
   ycf1.fit <- qgpd( ppoints(ycf1, a=0.44), threshold, para[1], para[2])

Note that the above code contains my own preferences for fitting
method and plotting positions: yours may differ.


J. R. M. Hosking