Paretofit - threshold values as input?

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Markus 2014-10-8

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https://ww2.mathworks.cn/matlabcentral/answers/157919-paretofit-threshold-values-as-input

回答： andrea lorenzini 2019-6-14

Hey guys,

i have monthly return data and essentially i want to do exactly what the function paretotails does (a gpdfit in the left and in the right tail and a kernel in the center). Now i defined thresholds for my left and right tails using Mean-Excess Plots, (picked the threshold for which the ME function is appr. linear).

so lets say for my right tail the threshold is 5.324% and for my left tail my treshold is -4.327%

So i have my data and i have the thresholds but Matlab wants pl and pu as input (which are not the quantiles of my empirical data but from the fitted GPD). So what can i do?

my solution then should look like:

gpd fit for -infinite to -0.04327 kernel smoot for -0.04327 to 0.05324 gpd fit for 0.05324 to infinite

Is this possible with the paretotails function? And if not, how can i achieve it then?

thx in advance

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Kostas 2014-10-13

Possible you could take a look in evim package, it contains tools for POT analysis and fitting the GPD.

Markus 2014-10-15

thx. i can of course fit the gdp tails separately and the kernel separately but is there any possibility to "link" these 3 segments to one distribution where i can simulate from?

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