Description Usage Arguments Value Author(s) References See Also Examples
Confidence interval for extreme value index estimation by Tm
method.
1 | cievi(nextremes, evi=0, conf.level=0.90, m=10, nsim=100)
|
nextremes |
the number of upper extremes to be used. |
evi |
extreme value index. In particular, the shape parammeter of a generalized Pareto distribution. |
conf.level |
confidence level of the interval. |
m |
number of thresholds to do multiplicial test. |
nsim |
number of simulation. |
A numerical vector with two elements, containing the limits of the interval.
Joan del Castillo, David Moriña Soler and Isabel Serra
del Castillo, J. and Padilla, M. (2016). Modeling extreme values by the residual coefficient of variation. SORT Statist. Oper. Res. Trans. 40(2), 303-320.
del Castillo, J. and Serra, I. (2015). Likelihood inference for Generalized Pareto Distribution. Computational Statistics and Data Analysis, 83, 116-128.
del Castillo, J., Daoudi, J. and Lockhart, R. (2014). Methods to Distinguish Between Polynomial and Exponential Tails. Scandinavian Journal of Statistics, 41, 382-393.
ercv-package
, cievi
,
ccdfplot
, cvevi
, cvplot
, evicv
, fitpot
,
ppot
, qpot
, tdata
, thrselect
,
Tm
1 | cievi(70, evi=0)
|
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