PickandsXU: Extreme U-statistic Pickands estimator

In mev: Modelling of Extreme Values

Extreme U-statistic Pickands estimator

Description

Given a random sample of exceedances, the estimator returns an estimator of the shape parameter or extreme value index using a kernel of order 3, based on m largest exceedances of xdat.

Usage

PickandsXU(xdat, m)

Arguments

xdat	vector of observations of length n
m	number of largest order statistics 3 \leq m \leq n. Choosing m = n amounts to using only the three largest observations in the sample.

Details

The calculations are based on the recursions provided in Lemma 4.3 of Oorschot et al.

References

Oorschot, J, J. Segers and C. Zhou (2023), Tail inference using extreme U-statistics, Electron. J. Statist. 17(1): 1113-1159. \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1214/23-EJS2129")}

Examples

samp <- rgp(n = 1000, shape = 0.2)
PickandsXU(samp, m = 3)

mev documentation built on Sept. 11, 2024, 8:14 p.m.