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From |
Maarten buis <maartenbuis@yahoo.co.uk> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: evaluating probabilities using kdensity |

Date |
Mon, 3 Mar 2008 13:56:08 +0000 (GMT) |

*---------- begin example ------------- sysuse auto, clear kdensity mpg, gen(x d) n(100) integ d x if x < 20 *------------- end example ------------ (For more on how to use examples I sent to the Statalist, see http://home.fsw.vu.nl/m.buis/stata/exampleFAQ.html ) Hope this helps, Maarten --- Conner Mullally <mullally@primal.ucdavis.edu> wrote: > Thanks for the help. I think I could have been more specific > about exactly what I am trying to do. > I have 20 years of time series, which I have detrended. > What I want to do is to: > a) Take the detrended time series and estimate a kernel > density > b) Use the estimated kernel density to estimate the expected > value of shortfalls from the mean of the distribution. That > is, I want to calculate the integral of: > (Mu-Yt)dF(Yt)dYt, for all Yt<Mu > Where Mu is the mean, Yt is the random variable, and F(Yt) > is the cumulative density function of Yt. > The command kdensity returns the estimated density at > whatever points were used to estimate the density, and I can > add more points using the at() option. But these will leave > gaps at the omitted points in the support of the estimated > distribution when I sum up the densities. What I'm > wondering is if there is a way to integrate under the curve > of the estimated kernel density. Perhaps some stata > programming is in my future, but if there is way to do this > while using kdensity or something similar, I would love to > know. Thanks in advance. > * > * For searches and help try: > * http://www.stata.com/support/faqs/res/findit.html > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ > ----------------------------------------- Maarten L. Buis Department of Social Research Methodology Vrije Universiteit Amsterdam Boelelaan 1081 1081 HV Amsterdam The Netherlands visiting address: Buitenveldertselaan 3 (Metropolitan), room Z434 +31 20 5986715 http://home.fsw.vu.nl/m.buis/ ----------------------------------------- ___________________________________________________________ Rise to the challenge for Sport Relief with Yahoo! For Good http://uk.promotions.yahoo.com/forgood/ * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**RE: st: evaluating probabilities using kdensity***From:*"Nick Cox" <n.j.cox@durham.ac.uk>

**References**:**Re: st: evaluating probabilities using kdensity***From:*"Conner Mullally" <mullally@primal.ucdavis.edu>

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