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].

Author
Kaspar Ru{f}{i}bach <kaspar.rufibach@gmail.com> and Samuel Mueller <samuel.mueller@sydney.edu.au>
Date of publication
2016-07-13 10:19:42
Maintainer
Kaspar Rufibach <kaspar.rufibach@gmail.com>
License
GPL (>= 2)
Version
2.0.5
URLs

View on CRAN

Man pages

falk
Compute original and smoothed version of Falk's estimator
falkMVUE
Compute original and smoothed version of Falk's estimator for...
generalizedPick
Compute generalized Pickand's estimator
gpd
The Generalized Pareto Distribution
lambdaGenPick
Auxiliary function to compute Segers' estimator
pickands
Compute original and smoothed version of Pickands' estimator
smoothtail-package
Smooth Estimation of GPD Shape Parameter

Files in this package

smoothtail
smoothtail/NAMESPACE
smoothtail/NEWS
smoothtail/R
smoothtail/R/falk.r
smoothtail/R/generalizedPick.r
smoothtail/R/pgpd.r
smoothtail/R/rgpd.r
smoothtail/R/lambdaGenPick.r
smoothtail/R/falkMVUE.r
smoothtail/R/pickands.r
smoothtail/R/dgpd.r
smoothtail/R/qgpd.r
smoothtail/MD5
smoothtail/DESCRIPTION
smoothtail/man
smoothtail/man/pickands.Rd
smoothtail/man/gpd.Rd
smoothtail/man/lambdaGenPick.Rd
smoothtail/man/generalizedPick.Rd
smoothtail/man/falkMVUE.Rd
smoothtail/man/smoothtail-package.Rd
smoothtail/man/falk.Rd