[R] Piecewise distribution function estimation with Generalized Pareto for tail
csun at cfr.msstate.edu
Wed Jul 6 22:51:30 CEST 2011
I am trying to estimate the cumulative distribution function for a single
stock return time series. A piecewise estimation is composed 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.
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