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

[Eric Zivot]

Rene Carmona has his EVENASCA splus library available for free download and
this has the gpd function for nonparametrically fitting the middle of the
distribution. See
http://www.orfe.princeton.edu/~rcarmona/SVbook/evanesce.zip


-----Original Message-----
From: r-sig-finance-bounces at stat.math.ethz.ch
[mailto:r-sig-finance-bounces at stat.math.ethz.ch] On Behalf Of Dale Smith
Sent: Saturday, July 14, 2007 8:06 AM
To: r-sig-finance at stat.math.ethz.ch
Subject: [R-SIG-Finance] Rmetrics gpdFit & fitting an entire distribution

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 didnt 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?

Thanks very much,
Dale Smith
dtsmith at mindspring.com
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