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 |

http://www.kasparrufibach.ch, www.maths.usyd.edu.au/ut/people?who=S_Mueller |

**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

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
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