gp_lrs: Linear Combinations of Ratios of Spacings estimation of...
In paulnorthrop/revdbayes: Ratio-of-Uniforms Sampling for Bayesian Extreme Value Analysis
gp_lrs R Documentation
Linear Combinations of Ratios of Spacings estimation of generalised Pareto
parameters
Description
Uses the Linear Combinations of Ratios of Spacings (LRS) methodology of
(Reiss and Thomas, 2007, page 134) to estimate the parameters of the
generalised Pareto (GP) distribution, based on a sample of positive values.
Usage
gp_lrs(x)
Arguments
x
A numeric vector containing only positive values, assumed
to be a random sample from a generalized Pareto distribution.
Value
A numeric vector of length 2. The estimates of the scale parameter
\sigma and the shape parameter \xi.
References
Reiss, R.-D., Thomas, M. (2007) Statistical Analysis of
Extreme Values with Applications to Insurance, Finance, Hydrology and
Other Fields.Birkhauser.
\Sexpr[results=rd]{tools:::Rd_expr_doi("10.1007/978-3-7643-7399-3")}.
See Also
gp for details of the parameterisation of the GP
distribution.
Examples
u <- quantile(gom, probs = 0.65)
gp_lrs((gom - u)[gom > u])
paulnorthrop/revdbayes documentation built on March 20, 2024, 1:01 a.m.
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| gp_lrs | R Documentation |
Linear Combinations of Ratios of Spacings estimation of generalised Pareto parameters
Description
Uses the Linear Combinations of Ratios of Spacings (LRS) methodology of (Reiss and Thomas, 2007, page 134) to estimate the parameters of the generalised Pareto (GP) distribution, based on a sample of positive values.
Usage
gp_lrs(x)
Arguments
x |
A numeric vector containing only positive values, assumed to be a random sample from a generalized Pareto distribution. |
Value
A numeric vector of length 2. The estimates of the scale parameter
\sigma and the shape parameter \xi.
References
Reiss, R.-D., Thomas, M. (2007) Statistical Analysis of Extreme Values with Applications to Insurance, Finance, Hydrology and Other Fields.Birkhauser. \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1007/978-3-7643-7399-3")}.
See Also
gp for details of the parameterisation of the GP
distribution.
Examples
u <- quantile(gom, probs = 0.65)
gp_lrs((gom - u)[gom > u])
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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