README.md

In swager/rbm: Tail Index Estimation with Random Block Maxima

rbm

Tail index estimation with random block maxima. This package implements the random block maxima method proposed by Wager (2014).

To install this package in R, run the following commands:

library(devtools) 
install_github("swager/rbm")

Example usage:

library(rbm)
rbm.point_estimate(abs(rt(2000, df = 3)))

References

Stefan Wager. Subsampling Extremes: From Block Maxima to Smooth Tail Estimation. Journal of Multivariate Analysis, 130, 2014. [arxiv]

swager/rbm documentation built on May 30, 2019, 9:33 p.m.