rho.ghp: Second order tail index estimator of Gomes et al.
In lbelzile/mev: Modelling of Extreme Values
rho.ghp R Documentation
Second order tail index estimator of Gomes et al.
Description
Estimator of the second order regular variation parameter rho \leq 0 parameter for heavy-tailed data proposed by Gomes et al. (2003)
Usage
rho.ghp(xdat, k, alpha = 2)
Arguments
xdat
vector of positive observations
k
number of highest order statistics to use for estimation
alpha
positive scalar tuning parameter
References
Gomes, M.I., Haan, L.d. & Peng, L. (2002). Semi-parametric Estimation of the Second Order Parameter in Statistics of Extremes. Extremes 5, 387–414. <doi:10.1023/A:1025128326588>
lbelzile/mev documentation built on Oct. 28, 2024, 5:15 a.m.
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| rho.ghp | R Documentation |
Second order tail index estimator of Gomes et al.
Description
Estimator of the second order regular variation parameter rho \leq 0 parameter for heavy-tailed data proposed by Gomes et al. (2003)
Usage
rho.ghp(xdat, k, alpha = 2)
Arguments
xdat |
vector of positive observations |
k |
number of highest order statistics to use for estimation |
alpha |
positive scalar tuning parameter |
References
Gomes, M.I., Haan, L.d. & Peng, L. (2002). Semi-parametric Estimation of the Second Order Parameter in Statistics of Extremes. Extremes 5, 387–414. <doi:10.1023/A:1025128326588>
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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