shape.pickandsxu: Extreme U-statistic Pickands estimator

In lbelzile/mev: Modelling of Extreme Values

Extreme U-statistic Pickands estimator

Description

Given a random sample of n exceedances, the estimator returns an estimator of the shape parameter or extreme value index using a kernel of order 3, based on k largest exceedances of xdat. Oorschot et al. (2023) parametrize the model in terms of m=n-k, so that m=n corresponds to using only the three largest observations.

Usage

shape.pickandsxu(xdat, k, ...)

Arguments

xdat	vector of observations of length n
k	number of largest order statistics 3 \leq k \leq n.

Details

The calculations are based on the recursions provided in Lemma 4.3 of Oorschot et al.

References

Oorschot, J, J. Segers and C. Zhou (2023), Tail inference using extreme U-statistics, Electron. J. Statist. 17(1): 1113-1159. \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1214/23-EJS2129")}

Examples

xdat <- rgp(n = 1000, shape = 0.2)
shape.pickandsxu(xdat, k = 10)

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