R: Estimate Threshold from Pareto Distribution

gpdEst {RecordLinkage} | R Documentation

## Estimate Threshold from Pareto Distribution

### Description

Fits a Pareto distribution to the distribution of weights and calculates a quantile on the fitted model as classification threshold.

### Usage

    gpdEst(Wdata, thresh = -Inf, quantil = 0.95)

### Arguments

`Wdata` | A numeric vector representing weights of record pairs.
`thresh` | Threshold for exceedances.
`quantil` | A real number between 0 and 1. The desired quantile.

### Details

The weights that exceed `thresh` are fitted to a generalized Pareto distribution (GPD). The estimated parameters `shape` and `scale` are used to calculate a classification threshold by the formula

thresh+scale/shape*((n/k*(1-quantil))^(-shape) -1)

where n is the total number of weights and k the number of exceedances.

### Value

A real number representing the resulting classification threshold. It is assured that the threshold lies in a reasonable range.

### Author(s)

Murat Sariyar

### See Also

`getParetoThreshold` for user-level function

[Package RecordLinkage version 0.4-12.2 Index]