lpindex: Lp quantile based tail index estimator
In AntoineUC/Expectrem: Bias-reduced estimation of extreme value index and extreme quantiles, expectiles and Expected Shortfalls
lpindex R Documentation
Lp quantile based tail index estimator
Description
This function computes the Lp quantile based tail index estimator.
Usage
lpindex(X,k,p,br=FALSE)
Arguments
X
Data vector.
k
A vector of number of upper order statistics.
p
The chosen Lp-quantile (must be greater than 1).
br
Bias-reduced version if TRUE. Default: FALSE.
Value
A vector of k estimates of the tail index.
Author(s)
Antoine Usseglio-Carleve
References
Girard, S., Stupfler, G., and Usseglio-Carleve, A. (2020). Composite bias-reduced Lp-quantile estimators of extreme quantiles and expectiles, preprint.
AntoineUC/Expectrem documentation built on Feb. 14, 2025, 11:22 a.m.
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| lpindex | R Documentation |
Lp quantile based tail index estimator
Description
This function computes the Lp quantile based tail index estimator.
Usage
lpindex(X,k,p,br=FALSE)
Arguments
X |
Data vector. |
k |
A vector of number of upper order statistics. |
p |
The chosen Lp-quantile (must be greater than 1). |
br |
Bias-reduced version if TRUE. Default: FALSE. |
Value
A vector of k estimates of the tail index.
Author(s)
Antoine Usseglio-Carleve
References
Girard, S., Stupfler, G., and Usseglio-Carleve, A. (2020). Composite bias-reduced Lp-quantile estimators of extreme quantiles and expectiles, preprint.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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