Fit ED intensity factors

Estimate incremental loss intensities $g_k$ from an object of class "ED" and return an "EDFit" object that bundles factor summaries, selected intensities, and maturity diagnostics.

Two methods are supported via the method argument:

"basic" (default): Factor estimation only. Returns g_selected and sigma2 in $selected.
"mack": Basic plus factor variance $\mathrm{Var}(\hat{g}_k)$ added as g_var column in $selected.

Usage

fit_ed(
  x,
  method = c("basic", "mack"),
  alpha = 1,
  na_method = c("zero", "locf", "none"),
  sigma_method = c("min_last2", "locf", "loglinear"),
  recent = NULL,
  regime_break = NULL,
  ...
)

Arguments

x: An object of class "ED", typically produced by build_ed().
method: One of "basic" or "mack". Default is "basic".
alpha: Numeric scalar controlling the variance structure. Default is 1.
na_method: Method used to fill NA values in g_selected. One of "zero" (default, set NA to 0 meaning no further development) or "locf" or "none".
sigma_method: Method used to extrapolate sigma. One of "min_last2" (default), "locf", or "loglinear".
recent: Optional positive integer. When supplied, only the most recent recent periods are used for estimation. Default is NULL.
regime_break: Optional cohort cutoff for the regime break. Accepts: NULL (default, no filter), a single Date/character coercible to Date, a vector of dates (uses the latest), or a CohortRegime object (extracts the latest from $breakpoints). When supplied, cohorts with cohort < break_date are excluded from estimation. Default is NULL.
...: Additional arguments passed to summary.ED().

Value

An object of class "EDFit" (a named list).

Usage

Arguments

Value

See also