PWM: Estimation of GPD's parameters by Probability Weighted...
In genostats/tail.modeling: Estimation of small p-values

Description Usage Arguments Value Author(s) References Examples

Estimates the two parameters k and a of Pareto's cumulative distribution function on a given data set z using the probability weighted moments.

PWM(z)

`z`	Data set - sorted list of real numbers.

Returns a list of the estimators k and a of the parameters, as real numbers.

Marion

J. R. M. Hosking and J. R. Wallis, Parameter and Quantile Estimation for the Generalized Pareto Distribution, Technometrics. Available at http://www.jstor.org/stable/1269343.

PWM(sort(rnorm(1e6)))

## The function is currently defined as
function (z)
{
  n <- length(z)
  p <- (seq.int(n)-0.35)/n
  t <- mean( (1-p)*z )
  mu <- mean(z)
  k <- mu/(mu-2*t)-2
  a <- 2*mu*t/(mu-2*t)
  list(a = a, k = k)

  }