lambdaGenPick: Auxiliary function to compute Segers' estimator

In smoothtail: Smooth Estimation of GPD Shape Parameter

Description

This function computes

λ_{δ, ρ}^c

given in Theorem 4.1 of Segers (2005) and is called by generalizedPick. It is not intended to be called by the user.

Author(s)

Kaspar Rufibach (maintainer), [e-mail],
http://www.kasparrufibach.ch

Samuel Mueller, [e-mail],
www.maths.usyd.edu.au/ut/people?who=S_Mueller

Kaspar Rufibach acknowledges support by the Swiss National Science Foundation SNF, http://www.snf.ch

References

Mueller, S. and Rufibach K. (2009). Smooth tail index estimation. J. Stat. Comput. Simul., 79, 1155–1167.

Segers, J. (2005). Generalized Pickands estimators for the extreme value index. J. Statist. Plann. Inference, 128, 381–396.

See Also

Called by generalizedPick.

smoothtail documentation built on May 2, 2019, 5:41 a.m.