[R-SIG-Finance] Rmetrics gpdFit & fitting an entire distribution

Dale Smith dtsmith at mindspring.com
Sat Jul 14 18:42:12 CEST 2007

Ok thanks very much, I will do that.


On Jul 14, 2007, at 12:04 PM, Brian G. Peterson wrote:

> Dale Smith wrote:
>> Hi there,
>> We are interested in fitting a generalized pareto distribution to the
>> tails of our
>> stock returns, with a kernel fit to the remainder. We looked at 
>> gpdFit,
>> but it fits
>> tails, instead of the entire distribution. We thought gpdFit worked
>> like the corresponding
>> function in FinMetrics – gpd.tail. Alas, gpdFit in fExtremes works
>> differently,
>> by fitting tails only, instead of the entire distribution.
>> I looked at the archives for information on this problem, but didn’t
>> find anything.
>> At this point, we plan to fit each tail separately, and fit the middle
>> of the distribution
>> with another non-parametric method. We are really looking for the
>> quantiles of the
>> fitted distribution.
>> Has anyone done this before, and might be willing to share the
>> algorithm they used?
> On first inspection, it looks like the underlying function 'gpd' would
> fit the entire distribution.
> You may also wish to examine the code for the VaR.gpd function from
> package VaR to get another log-liklihood gpd estimate
> Cheers,
>     - Brian
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