mop.AREFF: Asymptotic efficiency of mean of order p

In evt0: Mean of Order P, Peaks over Random Threshold Hill and High Quantile Estimates

Asymptotic efficiency of mean of order p

Description

This function compute asymptotic relative efficiency of mean of order p (MOP) with respect to classical Hill estimator.

Usage

mop.AREFF(x, k, p)

Arguments

x	Data vector.
k	a vector of number of upper order statistics.
p	a vector of mean order.

Details

Given two biased estimators MOP and Hill, the asymptotic root efficiency (AREFF) of MOP relatively to Hill is given in Brilhante et al. (2013). Note that highest the AREFF indicator the better is the MOP estimator.

Value

a matrix of asymptotic relative efficiency estimates, corresponds to k row and p columns.

Author(s)

B G Manjunath [e-mail]

References

Brilhante, M.F., Gomes, M.I. and Pestana, D. (2013). A simple generalisation of the Hill estimator. Computational Statistics and Data Analysis, 57, 518– 535.

See Also

mop

Examples

# generate random samples               
x = rfrechet(50000, loc = 0, scale = 1,shape = 1)

# estimate AREFF
mop.AREFF(x,c(1,500,5000,49999), c(-1,0,0.1))

evt0 documentation built on April 22, 2023, 1:15 a.m.