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 <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
Installation Install the latest version of this package by entering the following in R:
install.packages("smoothtail")

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