EXRQ (version 1.0)

TwoStage: Two-Stage Extreme Conditional Quantile Estimator

Description

This function provides the Two-Stage estimator in Wang, Li and He (2012) for conditional extreme quantiles based on covariate-dependent extreme value index estimation. The intermediate conditional quantile is estimated by quantile regression of the response on the original scale without any transformation. The method is based on Hill estimator for the extreme value index and works for heavy-tailed distributions.

Usage

TwoStage(y, x, xstar, tau.e, k, tol = 1e-04)

Arguments

y

a vector of length n representing the response

x

a n x p matrix of n observations and p predictors

xstar

a m x p matrix of m observations and p predictors representing the covariate of interest

tau.e

the extreme quantile level of interest

k

the number of upper order statistics used in Hill estimator

tol

the tolerance level used for checking quantile crossing

Value

A list of the following commponents is returnedQ2Stage: the estimated (extrapolated) conditional extreme quantile of the response given x=xstar at the quantile level tau.egamma.x: the estimated covariate-dependent extreme value index (Hill estimator associated with x=xstar)

References

Wang, H., Li, D., and He, X. (2012). Estimation of high conditional quantiles for heavytailed distributions, Journal of the American Statistical Association, 107, 1453-1464.

See Also

ThreeStage

Examples

#A simulation example (sqrt transformation, heteroscedastic error)
library(EXRQ)
n=500
tau.e = c(0.99, 0.993, 0.995)
set.seed(12368819)
x1 = runif(n, -1, 1)
x2 = runif(n, -1, 1)
sqrty = 2 + x1 + x2 + (1+0.8*x1)*rpareto(n, 0.5)
x = as.matrix(cbind(x1, x2))
y = sqrty^2
xstar = rbind(c(-0.5,0),c(0,-0.5),c(0,0),c(0.5,0),c(0,0.5))
## 2Stage method in Wang, Li and He (2012), no transformation
out.2stage <- TwoStage(y, x, xstar, tau.e, k=50)