Description Usage Arguments Value Author(s) References See Also Examples
Transformation of a sample with assumption of heavy-tail to a sample with non-heavy tail.
1 |
data |
a numeric vector. |
threshold |
a threshold value (either this or |
nextremes |
the number of upper extremes to be used (either
this or |
sigma |
the scale parammeter divided by shape parameter in generalized Pareto distribution. |
The transformed data as a numerical vector.
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
, thrselect
,
Tm
1 2 |
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