Description Objects from the Class Slots Extends Author(s) References
Class: SPD with Generalized Pareto Distribution (GPD) Tails
Objects can be created by calling spdfit
. The main implemented
class of the spd package holding the details of the fitted object with gpd tails.
call
:...
method
:the gpd fitting method
kernel
:the kernel type
data
:the original dataset
threshold
:the upper and lower thresholds fitted
ptails
:the upper and lower cutoff points.
fit
:the upper and lower gpd fit and the interior kernel fit objects.
title
:optional title of project
description
:optional description
Class SPD
, directly.
Alexios Ghalanos
Carmona, R. and J. Morrisson (2001). Heavy Tails and Copulas with
Evanesce, ORFE Tech. Report, Princeton University
Carmona, R. (2001). Statistical Analysis of Financial Data, with an
implementation in Splus
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