PORT.Hill: Peaks over random threshold Hill estimate

Description Usage Arguments Details Value Author(s) References Examples

View source: R/PORTHill.R

Description

This function performs peaks over random threshold (PORT) Hill methodology for estimating extreme value index (EVI) for heavy tailed models.

Usage

1
PORT.Hill(x, k, q, method = c("PMOP", "PRBMOP"))

Arguments

x

Data vector.

k

a vector of number of upper order statistics.

q

quantile for PORT.

method

Method used, ("PMOP", default) and reduced-bias PMOP ("PRBMOP").

Details

The computation of PORT Hill estimator is based on the work by Araujo Santos et al. (2006). Reduced biased PORT Hill computation is based on quasi-PORT methodology, see Gomes et al.

Value

a k dimensional vector of PORT Hill estimates. When Method = "RBMOP" shape and scale second order parameters estimates are also returned.

Author(s)

B G Manjunath [email protected], Frederico Caeiro [email protected]

References

Araujo Santos, P., Fraga Alves, M.I. and Gomes, M.I. (2006). Peaks over random threshold methodology for tail index and quantile estimation. Revstat, 4(3), 227–247.

Gomes, M.I., Figueiredo, F., Henriques-Rodrigues, L. and Miranda, M.C. (2006). A quasi-PORT methodology for VaR based on second-order reduced-bias estimation.

Examples

1
2
3
4
5
# generate random samples               
x = rfrechet(50000, loc = 0, scale = 1,shape = 1/0.5)

# estimate PORT Hill 
PORT.Hill(x,c(1,500,5000),0.1,"PRBMOP")

evt0 documentation built on May 30, 2017, 6:10 a.m.