asvarMedkMAD | R Documentation |
Function asvarMedkMAD
computes the asymptotic (co)variance of
a MedkMAD estimator at a Scale-Shape model.
asvarMedkMAD( model, k=1)
model |
an object of class |
k |
numeric (>0); additional parameter for |
For the Generalized Pareto Family all terms are analytic; in case of the general scale-shape model, numerical integration is used.
A 2x2 matrix; the covariance.
Peter Ruckdeschel peter.ruckdeschel@uni-oldenburg.de
Ruckdeschel, P. and Horbenko, N. (2011): Optimally-Robust Estimators in Generalized
Pareto Models. ArXiv 1005.1476. To appear at Statistics.
DOI: 10.1080/02331888.2011.628022.
LDEstimator
GP <- GParetoFamily(scale=1,shape=0.7)
asvarMedkMAD(GP,k=1)
## for didactical purposes turn GP into a non-GPD
setClass("noGP",contains="L2ScaleShapeUnion")
GP2 <- GP
class(GP2) <- "noGP"
asvarMedkMAD(GP2,k=1) ### uses numerical integration
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.