rho.dk: Second order tail index estimator of Drees and Kaufmann

In lbelzile/mev: Modelling of Extreme Values

Second order tail index estimator of Drees and Kaufmann

Description

Estimator of the second order regular variation parameter rho \leq 0 parameter for heavy-tailed data proposed by Drees and Kaufmann (1998)

Usage

rho.dk(xdat, k, tau = 0.5)

Arguments

xdat	vector of positive observations
k	number of highest order statistics to use for estimation
tau	tuning parameter \tau \in (0,1)

References

Drees, H. and E. Kaufmann (1998). Selecting the optimal sample fraction in univariate extreme value estimation, Stochastic Processes and their Applications, 75(2), 149-172, <doi:10.1016/S0304-4149(98)00017-9>.

lbelzile/mev documentation built on Oct. 28, 2024, 5:15 a.m.