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].

Package details

AuthorKaspar Ru{f}{i}bach <> and Samuel Mueller <>
MaintainerKaspar Rufibach <>
LicenseGPL (>= 2)
Package repositoryView on CRAN
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smoothtail documentation built on May 2, 2019, 5:41 a.m.