[R-SIG-Finance] Piecewise distribution function estimation with Generalized Pareto for tail
alexios at 4dscape.com
Wed Jul 6 23:20:13 CEST 2011
Try the spd (semi-parametric distribution) package on CRAN.
On 06/07/2011 22:03, Changyou Sun wrote:
> Hello all,
> 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.
> Any help is greatly appreciated.
> Edwin Sun
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