Piecewise distribution with Pareto tails

A `paretotails`

object is a piecewise distribution with
generalized Pareto distributions (GPDs) in the tails.

A `paretotails`

object consists of one or two GPDs in the tails and
another distribution in the center. You can specify the distribution type for the center
by using the `cdffun`

argument of `paretotails`

when
you create an object. Valid values are `'ecdf'`

,
`'kernel'`

, and a function handle.

`paretotails`

fits a distribution of type `cdffun`

to the observations (`x`

) and finds the quantiles corresponding to
the lower and upper tail cumulative probabilities (`pl`

and
`pu`

, respectively). Then, `paretotails`

fits two
GPDs to the lower `100*pl`

percent of the observations and the upper
`100*(1–pu)`

percent of the observations, respectively. If
`x`

does not have at least two distinct observations in a tail,
then `paretotails`

does not create the corresponding tail segment.

Use the object functions `boundary`

, `segment`

, `upperparams`

, and `lowerparams`

to find distribution characteristics. `lowerparams`

and `upperparams`

return the parameters of the GPDs in the tails. `boundary`

returns the boundary points between piecewise distribution
segments, `segment`

returns the segment of a
piecewise distribution containing input values, and `nsegments`

returns the number of segments in an object.

Use the object functions `cdf`

, `icdf`

, `pdf`

, and `random`

to evaluate the distribution. These functions are well suited to
copula and other Monte Carlo simulations. `pdf`

returns the GPD
density in the tails and the slope of the cumulative distribution function (cdf) in the
center. These probability density function (pdf) values in the center are generally not
good estimates of the underlying density of the original data.

Create a piecewise distribution object using `paretotails`

.

`boundary` | Piecewise distribution boundaries |

`cdf` | Cumulative distribution function |

`icdf` | Inverse cumulative distribution function |

`lowerparams` | Lower Pareto tail parameters |

`nsegments` | Number of segments in piecewise distribution |

`pdf` | Probability density function |

`random` | Random numbers |

`segment` | Piecewise distribution segments containing input values |

`upperparams` | Upper Pareto tail parameters |