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].

Package details

AuthorKaspar Ru{f}{i}bach <> and Samuel Mueller <>
Date of publication2016-07-13 10:19:42
MaintainerKaspar Rufibach <>
LicenseGPL (>= 2)
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:

Try the smoothtail package in your browser

Any scripts or data that you put into this service are public.

smoothtail documentation built on May 29, 2017, 6:37 p.m.