[R] Function not working as I'd like
David Carlson
dcarlson at tamu.edu
Wed Oct 23 21:06:04 CEST 2013
Actually I wrote too quickly. Since the logical vector is used
to subset a vector, the value of
length(ninetyoneclaims$total.chg[ninetyoneclaims$total.chg>q])
should be changing.
David
-----Original Message-----
From: David Carlson [mailto:dcarlson at tamu.edu]
Sent: Wednesday, October 23, 2013 1:58 PM
To: 'smugg55'; 'r-help at r-project.org'
Subject: RE: [R] Function not working as I'd like
Your problem is here
ninetyoneclaims$total.chg>q
That produces a logical vector of TRUE/FALSE values, but the
length of the vector stays the same even though the number of
TRUEs is changing. Try
sum(ninetyoneclaims$total.chg>q)
-------------------------------------
David L Carlson
Associate Professor of Anthropology
Texas A&M University
College Station, TX 77840-4352
-----Original Message-----
From: r-help-bounces at r-project.org
[mailto:r-help-bounces at r-project.org] On Behalf Of smugg55
Sent: Wednesday, October 23, 2013 9:25 AM
To: r-help at r-project.org
Subject: [R] Function not working as I'd like
Hey all,
So I wrote/borrowed some code (no, I'm not trying to claim all
of the work
I've done below as my own). Ideally what I'd like the code to do
is
calculate ep for each iteration of q. Here's the code:
> gpdriskmeasures = function(x , prob =
> c(0,.1,.2,.25,.3,.4,.5,.6,.7,.75,.8,.9,.95,.99))
+ {
+ xi = gpd.model$par.ests["xi"]
+ beta = gpd.model$par.ests["beta"]
+ u = gpd.model$threshold
+ q = u + (beta*((1-prob)^(-xi)-1))/xi
+ es = (q + (beta - xi * u))/(1 - xi)
+ ep =
1-length(ninetyoneclaims$total.chg[ninetyoneclaims$total.chg>q])
/length(ninetyoneclaims$total.chg)
+ ans = data.frame(p = prob, quantile = q, tail.expectation =
es,
empirical.prob = ep)
+ ans
+ }
Note that there are no problems pulling xi, beta, and u, and es
calculates
correctly. I'll also show what the results look like:
> gpdriskmeasures(ninetyoneclaims$total.chg)
p quantile tail.expectation empirical.prob
1 0.00 200000.0 336856.8 0.9878478
2 0.10 210058.6 351517.2 0.9878478
3 0.20 221704.1 368490.5 0.9878478
4 0.25 228270.1 378060.5 0.9878478
As you can see the empirical.prob (which is ep) is not
calculating
correctly, as that number should be decreasing as the quantile
(q)
increases.
Any help would be most appreciated! Thanks in advance for anyone
that can
help.
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