Description Usage Arguments Details Value References Examples
An Implementation of the procedure proposed in Hall & Welsh (1985) for obtaining the optimal number of upper order statistics k
for the Hill estimator by minimizing the AMSE-criterion.
1 |
data |
vector of sample data |
The optimal number of upper order statistics is equivalent to the number of extreme values or, if you wish, the number of exceedances in the context of a POT-model like the generalized Pareto distribution. This number is identified by minimizing the AMSE criterion with respect to k
. The optimal number, denoted k0
here, can then be associated with the unknown threshold u
of the GPD by choosing u
as the n-k0
th upper order statistic. For more information see references.
second.order.par |
gives an estimation of the second order parameter |
k0 |
optimal number of upper order statistics, i.e. number of exceedances or data in the tail |
threshold |
the corresponding threshold |
tail.index |
the corresponding tail index |
Hall, P. and Welsh, A.H. (1985). Adaptive estimates of parameters of regular variation. The Annals of Statistics, 13(1), 331–341.
1 2 |
Loading required package: eva
$sec.order.par
[1] -0.09097295
$k0
[1] 19
$threshold
[1] 27.82931
$tail.index
[1] 1.68022
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