momentindex: Moment estimator of the tail index

In AntoineUC/Expectrem: Bias-reduced estimation of extreme value index and extreme quantiles, expectiles and Expected Shortfalls

Moment estimator of the tail index

Description

This function computes the Moment tail index estimator introduced by Dekkers.

Usage

momentindex(x,k,ci.level=0.95)

Arguments

x	Data vector.
k	A vector of number of upper order statistics.
ci.level	Confidence level. Default: 0.95.

Value

Lower_bound	Lower bound of the confidence interval.
Point_estimate	Tail index estimate.
Upper_bound	Upper bound of the confidence interval.

Author(s)

Antoine Usseglio-Carleve

References

Dekkers, A. L., Einmahl, J. H., & De Haan, L. (1989). A moment estimator for the index of an extreme-value distribution. The Annals of Statistics, 1833-1855.

AntoineUC/Expectrem documentation built on Feb. 14, 2025, 11:22 a.m.