DATA Step, Macro, Functions and more

Generalized Pareto Distribution: generate theoretical data given estimated parameters

Accepted Solution Solved
Reply
Occasional Contributor
Posts: 15
Accepted Solution

Generalized Pareto Distribution: generate theoretical data given estimated parameters

Hi all,

 

I estimated the scale and the shape parameters using empirical data on the base of the PROC SEVERITY.

 

Now, by using the estimated parameters XI and THETA for the generalized Pareto distribution, I want to compare the empirical distribution with the theoretical one.

 

First of all, I would like to generate data extrapolated by the GPD distribution on the base of the estimated parameters and plotting the theoretical data against the empirical one.

 

Could someone suggest a simple way to do that?

 

Thanks in advance for the help.


Accepted Solutions
Solution
‎01-16-2017 12:17 PM
Regular Contributor
Posts: 231

Re: Generalized Pareto Distribution: generate theoretical data given estimated parameters

My mistake, I (incorrectly) assumed that a GPD was something else.  

 

Trying again:

https://communities.sas.com/t5/General-SAS-Programming/Rand/m-p/298418 - Another user asked the same question and I think got the answer they needed.

Sim Data Book - Google Books with the page from the book I mentioned where the GPD is used.  

 

Hopefully these help and good luck :-)

Chris

Has my article or post helped? Please mark as Solution or Like the article!

View solution in original post


All Replies
Regular Contributor
Posts: 231

Re: Generalized Pareto Distribution: generate theoretical data given estimated parameters

Hi and welcome to the community!

 

I've started playing around with simulating data and found the following to be really helpful:

http://support.sas.com/resources/papers/proceedings15/SAS1387-2015.pdf

http://www.statsblogs.com/2014/06/04/simulate-lognormal-data-with-specified-mean-and-variance/

Also, Rick Wicklin has written a book on simulating data in SAS that I found very good. 

 

Good luck and hopefully these help!

Chris

Has my article or post helped? Please mark as Solution or Like the article!
Occasional Contributor
Posts: 15

Re: Generalized Pareto Distribution: generate theoretical data given estimated parameters

Thanks for replying, but I need exactly for an hint to simulate GPD data.

 

In the papers you posted above, you can simulate othe kind of distribution but there is no suggestion about to simulate GPD distributed data.

 

Thanks anyway.

Solution
‎01-16-2017 12:17 PM
Regular Contributor
Posts: 231

Re: Generalized Pareto Distribution: generate theoretical data given estimated parameters

My mistake, I (incorrectly) assumed that a GPD was something else.  

 

Trying again:

https://communities.sas.com/t5/General-SAS-Programming/Rand/m-p/298418 - Another user asked the same question and I think got the answer they needed.

Sim Data Book - Google Books with the page from the book I mentioned where the GPD is used.  

 

Hopefully these help and good luck :-)

Chris

Has my article or post helped? Please mark as Solution or Like the article!
Occasional Contributor
Posts: 15

Re: Generalized Pareto Distribution: generate theoretical data given estimated parameters

Solved!! Smiley Tongue

 

Thanks for the help!

Regular Contributor
Posts: 231

Re: Generalized Pareto Distribution: generate theoretical data given estimated parameters

Anytime, it's why we're here as a community!

 

Happy coding!

Chris

Has my article or post helped? Please mark as Solution or Like the article!
☑ This topic is solved.

Need further help from the community? Please ask a new question.

Discussion stats
  • 5 replies
  • 373 views
  • 1 like
  • 2 in conversation