asvarMedkMAD: Function to compute asymptotic variance of MedkMAD estimator
In RobExtremes: Optimally Robust Estimation for Extreme Value Distributions

Description Usage Arguments Details Value Author(s) References See Also Examples

Function asvarMedkMAD computes the asymptotic (co)variance of a MedkMAD estimator at a Scale-Shape model.

1	asvarMedkMAD( model, k=1)

`model`	an object of class `"ScaleShapeUnion"`.
`k`	numeric (>0); additional parameter for `kMAD`.

For the Generalized Pareto Family all terms are analytic; in case of the general scale-shape model, numerical integration is used.

A 2x2 matrix; the covariance.

Peter Ruckdeschel peter.ruckdeschel@uni-oldenburg.de

Ruckdeschel, P. and Horbenko, N. (2011): Optimally-Robust Estimators in Generalized Pareto Models. ArXiv 1005.1476. To appear at Statistics. DOI: 10.1080/02331888.2011.628022.

LDEstimator

GP <- GParetoFamily(scale=1,shape=0.7)
asvarMedkMAD(GP,k=1)

## for didactical purposes turn GP into a non-GPD
setClass("noGP",contains="L2ScaleShapeUnion")
GP2 <- GP
class(GP2) <- "noGP"
asvarMedkMAD(GP2,k=1) ### uses numerical integration