Generalized Pareto distribution

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Description

Estimate the parameters k and σ of the generalized Pareto distribution, given a sample x.

Usage

1
gpdfit(x)

Arguments

x

A numeric vector. The sample from which to estimate the parameters.

Details

Here the parameter k is the negative of k in Zhang & Stephens (2009).

Value

A named list with components k and sigma.

Note

This function is primarily intended for internal use, but is exported so that users can call it directly if interested in PSIS for purposes other than LOO-CV.

References

Zhang, J., and Stephens, M. A. (2009). A new and efficient estimation method for the generalized Pareto distribution. Technometrics 51, 316-325.

See Also

psislw, loo, loo-package