smoothtail: Smooth Estimation of GPD Shape Parameter
Version 2.0.5

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].

Browse man pages Browse package API and functions Browse package files

AuthorKaspar Ru{f}{i}bach <kaspar.rufibach@gmail.com> and Samuel Mueller <samuel.mueller@sydney.edu.au>
Date of publication2016-07-13 10:19:42
MaintainerKaspar Rufibach <kaspar.rufibach@gmail.com>
LicenseGPL (>= 2)
Version2.0.5
URL http://www.kasparrufibach.ch www.maths.usyd.edu.au/ut/people?who=S_Mueller
Package repositoryView on CRAN
InstallationInstall the latest version of this package by entering the following in R:
install.packages("smoothtail")

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

Functions

dgpd Man page Source code
falk Man page Source code
falkMVUE Man page Source code
generalizedPick Man page Source code
gpd Man page
lambdaGenPick Man page Source code
logcon Man page
logcondens Man page
pgpd Man page Source code
pickands Man page Source code
qgpd Man page Source code
rgpd Man page Source code
smoothtail Man page
smoothtail-package Man page
tail index Man page

Files

NAMESPACE
NEWS
R
R/falk.r
R/generalizedPick.r
R/pgpd.r
R/rgpd.r
R/lambdaGenPick.r
R/falkMVUE.r
R/pickands.r
R/dgpd.r
R/qgpd.r
MD5
DESCRIPTION
man
man/pickands.Rd
man/gpd.Rd
man/lambdaGenPick.Rd
man/generalizedPick.Rd
man/falkMVUE.Rd
man/smoothtail-package.Rd
man/falk.Rd
smoothtail documentation built on May 19, 2017, 4:32 p.m.