evicv: Extreme value index

In ercv: Fitting Tails by the Empirical Residual Coefficient of Variation

Description

The extreme value index for a given coefficient of variation in the generalized Pareto distribution.

Usage

evicv(cv)

Arguments

cv	coefficient of variation. It has to satisfy cv > 0.

Value

The extreme value index for a given coefficient of variation in the generalized Pareto distribution as a numerical value.

Author(s)

Joan del Castillo, David Moriña Soler and Isabel Serra

References

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.

See Also

ercv-package, cievi, ccdfplot, cvevi, cvplot, fitpot, ppot, qpot, tdata, thrselect, Tm

Examples

evicv(2)

ercv documentation built on Oct. 30, 2019, 9:49 a.m.