BookmarkSubscribeRSS Feed
🔒 This topic is solved and locked. Need further help from the community? Please sign in and ask a new question.
Quantopic
Obsidian | Level 7

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.

1 ACCEPTED SOLUTION

Accepted Solutions
DarthPathos
Lapis Lazuli | Level 10

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

5 REPLIES 5
DarthPathos
Lapis Lazuli | Level 10

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!
Quantopic
Obsidian | Level 7

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.

DarthPathos
Lapis Lazuli | Level 10

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!
DarthPathos
Lapis Lazuli | Level 10

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!

sas-innovate-2024.png

Join us for SAS Innovate April 16-19 at the Aria in Las Vegas. Bring the team and save big with our group pricing for a limited time only.

Pre-conference courses and tutorials are filling up fast and are always a sellout. Register today to reserve your seat.

 

Register now!

How to Concatenate Values

Learn how use the CAT functions in SAS to join values from multiple variables into a single value.

Find more tutorials on the SAS Users YouTube channel.

Click image to register for webinarClick image to register for webinar

Classroom Training Available!

Select SAS Training centers are offering in-person courses. View upcoming courses for:

View all other training opportunities.

Discussion stats
  • 5 replies
  • 2114 views
  • 1 like
  • 2 in conversation