Not an R-response, but see this reference: Dolan CV, van der Maas HLJ, Molenaar PCM A framework for ML estimation of parameters of (mixtures of) common reaction time distributions given optional truncation or censoring BEHAVIOR RESEARCH METHODS INSTRUMENTS & COMPUTERS 34 (3): 304-323 AUG 2002
on estimating distribution parameters on truncated data sets, there is an accompanying program available (which may or may not easily port to R ...) hth, ingmar > From: "Carsten Steinhoff" <[EMAIL PROTECTED]> > Date: Wed, 7 Sep 2005 13:15:39 +0200 > To: <r-help@stat.math.ethz.ch> > Subject: [R] fitting distribution tails > > Hello, > > I want to fit a distribution to a dataset. Important is not the "overall" > fitting but the fitting in the tail (e.g. all observations > x or the n > highest values). Standard ML-estimation sometimes doesn't work here very > well. We see that especially when we have truncated datasets the algorithms > won't converge. In the case of lognormal distribution: It seems that the > farer the truncation point is away from the peak of the whole distribution > the more unlikely is the convergence. > > So I think to do the following. And my questions are: Before I try to do it > with basic R-knowledge on my own ... maybe there is a similar solution > already available in R. And: maybe somebody can give me further reading on > this topic or has other/better ideas how to cope this type of problem > (except EVT-Approaches). > > First I produce the quantiles for all points of my dataset. I fix that the > fitting will be done for the n largest values. Then an optimization > algorithm starts. The objective function could be a goodness-of-fit > criterion, for a first try e.g: Minimize the sum over all squared deltas > [empirical - theoretical distribution]. In *any* case should be found > parameters that fulfill the condition. The criterion should be able to > overweight observations the higher they are. > > What do you think about ? > > Regards, Carsten > > [[alternative HTML version deleted]] > > ______________________________________________ > R-help@stat.math.ethz.ch mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html > ______________________________________________ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html
