Function to compute asymptotic variance of Pickands estimator

Description

Function asvarPickands computes the asymptotic (co)variance of a Pickands estimator at a GPD or GEVD model.

Usage

1
asvarPickands( model, alpha=2)

Arguments

model

an object of class "ScaleShapeUnion".

alpha

numeric > 1; determines the variant of the Pickands-Estimator based on matching the empirical a1=1-1/alpha and a1=1-1/alpha^2 quantiles against the population counter parts. The “classical” Pickands Estimator is obtained for alpha=2 (GPD) resp. for alpha=1/log(2) (GEVD).

Details

All terms are analytic.

Value

A 2x2 matrix; the covariance.

Author(s)

Peter Ruckdeschel peter.ruckdeschel@uni-oldenburg.de

References

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.

See Also

PickandsEstimator

Examples

1
2
3
GP <- GParetoFamily(scale=1,shape=0.7)
asvarPickands(GP)
asvarPickands(GP,alpha=2.3)

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