Pareto smooth sorted tail of log ratios

Function to Pareto smooth a sorted tail of log ratios. Exported for usage in other packages, not by users.

Usage

ps_tail_sorted_log_ratios(x, cutoff, smooth_draws = TRUE, ...)

Arguments

x

Vector of log ratios in the tail, sorted in ascending order and shifted so that exp(x) does not overflow, e.g. by subtracting the maximum of all log ratios.

cutoff

The largest log ratio not in the tail, on the same shifted scale as x. Tail values may be equal to it.

smooth_draws

(logical) Should the tail be smoothed? If FALSE, only k is estimated and tail is x unchanged.

...

Arguments passed to gpdfit().

Value

A list with elements tail, the (smoothed) tail of log ratios, and k, the estimated shape parameter. Unlike ps_tail(), the full vector of draws is not returned.

See also

ps_tail for the general tail smoothing function.