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smoothtail: Smooth Estimation of GPD Shape Parameter
Given independent and identically distributed observations X(1), ..., X(n) from a Generalized Pareto distribution with shape parameter gamma in [-1,0], offers several estimates to compute estimates of gamma. The estimates are based on the principle of replacing the order statistics by quantiles of a distribution function based on a log--concave density function. This procedure is justified by the fact that the GPD density is log--concave for gamma in [-1,0].
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Package details |
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| Author | Kaspar Ru{f}{i}bach <kaspar.rufibach@gmail.com> and Samuel Mueller <samuel.mueller@sydney.edu.au> |
| Maintainer | Kaspar Rufibach <kaspar.rufibach@gmail.com> |
| License | GPL (>= 2) |
| Version | 2.0.5 |
| URL | http://www.kasparrufibach.ch www.maths.usyd.edu.au/ut/people?who=S_Mueller |
| Package repository | View on CRAN |
| Installation |
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