rho.fagh: Second order tail index estimator of Fraga Alves et al....

In lbelzile/mev: Modelling of Extreme Values

Second order tail index estimator of Fraga Alves et al. Estimator of the second order regular variation parameter rho \leq 0 parameter for heavy-tailed data proposed by Fraga Alves et al. (2003)

Description

Second order tail index estimator of Fraga Alves et al. Estimator of the second order regular variation parameter rho \leq 0 parameter for heavy-tailed data proposed by Fraga Alves et al. (2003)

Usage

rho.fagh(xdat, k, tau = 0)

Arguments

xdat	vector of positive observations
k	number of highest order statistics to use for estimation
tau	scalar real tuning parameter. Default values is 0, which is typically chosen whenever \rho \ge -1. The choice \tau=1 otherwise.
method	string; only the estimator of Fraga Alves et al. fagh is currently supported

References

Fraga Alves, M.I., Gomes, M. Ivette, and de Haan, Laurens (2003). A new class of semi-parametric estimators of the second order parameter. Portugaliae Mathematica. Nova Serie 60(2), 193-213. <http://eudml.org/doc/50867>.

Examples

# Example with rho = -0.2
n <- 1000
xdat <- mev::rgp(n = n, shape = 0.2)
kmin <- floor(n^0.995)
kmax <- ceiling(n^0.999)
rho_est <- fit.fagh(
   xdat = xdat,
   k = n - kmin:kmax)
rho_med <- mean(rho_est$rho)

lbelzile/mev documentation built on June 14, 2025, 6:40 p.m.