Calc.Xi: Generalised Pareto Distribution theoretical and empirical...

Description Usage Arguments Details Author(s) Examples

View source: R/Calc.Xi.R

Description

Calculates the difference between the theoretical skewness for the Generalised Pareto Distribution (GPD) and the empirical skewness of some data.

Usage

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Calc.Xi(xi, skewness)

Arguments

xi

a number indicating the shape parameter for the GPD.

skewness

a number indicating the sample skewness.

Details

The inputs must be numeric and a single value.

For this function to be well defined, xi<1/3.

All parameters must be provided.

This function can be optimised to find the fitted value of the shape parameter Xi for the GPD.

Author(s)

Alison Telford <mm11ajt@leeds.ac.uk>

Examples

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	data = rnorm(100)
	g = skewness(data)
	Calc.Xi(0.25,g)

CramTest documentation built on May 2, 2019, 5:08 a.m.