shape.genquant: Beirlant et al. generalized quantile shape estimator

In lbelzile/mev: Modelling of Extreme Values

Beirlant et al. generalized quantile shape estimator

Description

This estimator estimates the real shape parameter based on generalized quantile plots based on mean excess functions, generalized median excesses or trimmed mean excesses.

Usage

shape.genquant(
  xdat,
  k,
  type = c("genmean", "genmed", "trimmean"),
  weight,
  p = 0.5
)

Arguments

xdat	n vector of observations
k	number of upper order statistics
type	string indicating the estimator choice, one of genmean, genmed and trimmean.
weight	weight a kernel function on [0,1]

References

Beirlant, J., Vynckier P. and J.L. Teugels (1996). Excess functions and estimation of the extreme-value index. Bernoulli, 2(4), 293-318.

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