est.gamma.func: Estimation of the Extreme Value Index on the Original Scale

In EXRQ: Extreme Regression of Quantiles

Description

This function estimates the extreme value index on the original scale based on the estimated intermediate conditional quantiles on the transformed scale

Usage

est.gamma.func(taus, Lam.Q, lam, a = 0, tol)

Arguments

taus	a grid of intermediate high quantile levels
Lam.Q	a vector of the same length as taus, representing the estimated intermediate conditional quantiles of Y (at taus) on the transformed scale
lam	the power-transformation parameter
a	location shift parameter in the power transformation (introduced to avoid negative y values)
tol	the tolerance level for checking quantile crossing issue

Value

A list is returned with the following components.

gamma.x: the estimated EVI. If quantile crossing is too severe, which suggests that the estimated intermediate conditional quantiles are unstable, then NA is returned.

Q: the estimated conditional quantile of Y on the original scale

EXRQ documentation built on May 1, 2019, 7:26 p.m.