other.EVI: Other extreme value index estimates

Description Usage Arguments Details Value Author(s) References Examples

View source: R/otherEVI.R

Description

This function computes moment (MO), generalized Hill (GH) and mixed moment (MM) estimates for extreme value index (EVI).

Usage

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other.EVI(x, k, method = c("MO", "GH", "MM"))

Arguments

x

Data vector.

k

a vector of number of upper order statistics.

method

Method used, moment estimate("MO", default), generalized Hill ("GH") and mixed moment ("MM").

Details

Computation of moment and generalized Hill and mixed moment EVI estimators are based on the articles by Dekkers et al. (1989), Beirlant et al. (1996) and Fraga Alves et al. (2009), respectively.

Value

a k dimensional vector of EVI estimates.

Author(s)

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

References

Dekkers, A., Einmahl, J. and L. de Haan. (1989). A moment estimator for the index of an extreme-value distribution. Ann. Statist., 17, 1833– 1855.

Beirlant, J., Vynckier, P. and Teugels, J. (1996). Excess functions and estimation of the extreme-value index. Bernoulli, 2, 293–318.

Fraga Alves, M.I., Gomes, M.I., de Haan, L. and Neves, C. (2009). The mixed moment estimator and location invariant alternatives. Extremes, 12, 149–185.

Examples

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

# estimate EVI 
other.EVI(x,c(500,5000,40000),"MO")

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