tdata: Transforms a heavy-tailed sampled to non-heavy tailed

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

Description

Transformation of a sample with assumption of heavy-tail to a sample with non-heavy tail.

Usage

tdata(data, threshold = NA, nextremes = NA, sigma=NA)

Arguments

data	a numeric vector.
threshold	a threshold value (either this or nextremes must be given but not both).
nextremes	the number of upper extremes to be used (either this or threshold must be given but not both).
sigma	the scale parammeter divided by shape parameter in generalized Pareto distribution.

Value

The transformed data as a numerical vector.

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, evicv, fitpot, ppot, qpot, thrselect, Tm

Examples

data("danish", package = "evir")
tdata(danish)

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