View source: R/asvarPickands.R
asvarPickands | R Documentation |
Function asvarPickands
computes the asymptotic (co)variance of
a Pickands estimator at a GPD or GEVD model – the latter with location
mu known or unknown.
asvarPickands( model, alpha=2)
model |
an object of class |
alpha |
numeric > 1; determines the variant of the Pickands-Estimator
based on matching the empirical |
All terms are analytic.
A 2x2 matrix (resp., for mu unknown in the GEV model a 3x3 matrix); the covariance.
Peter Ruckdeschel peter.ruckdeschel@uni-oldenburg.de
Ruckdeschel, P. and Horbenko, N. (2013): Optimally-Robust Estimators in Generalized
Pareto Models. Statistics 47(4), 762–791.
DOI: 10.1080/02331888.2011.628022.
PickandsEstimator
GP <- GParetoFamily(scale=1,shape=0.7)
asvarPickands(GP)
asvarPickands(GP,alpha=2.3)
GE <- GEVFamily(loc=0,scale=1,shape=0.7)
asvarPickands(GE)
GE0 <- GEVFamilyMuUnknown(loc=0,scale=1,shape=0.7)
asvarPickands(GE0)
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