Description Usage Arguments Details Value Author(s) References

Divide the vector `data`

into (possibly overlapping) blocks
and estimate the shape parameter of the upper tail with
by the GEV shape parameter of the sample of block maxima.

1 |

`data` |
Numerical vector representing the sample observations |

`overlap` |
Integer giving the size of the overlap between successive blocks |

`nb.blocks` |
Number of blocks used |

`block.size` |
Integer giving the length of any given block |

`method` |
String which should be either "ml" or "lmom" depending upon the estimation method used. |

The overlap given by the parameter `overlap`

should be no greater than 50. The block length given by the parameter `block.size`

should be at least 100. The estimation method given by the parameter `method`

should be either `ml`

for maximum likelihood (default) or `lmom`

for the method of moments.

Returns a list comprising

`n` |
Length of the original data vector |

`data` |
ordered original data |

`method` |
the method used for the estimation |

`nb.blocks` |
Number of blocks used |

`overlap` |
Size of the overlap |

`intervl.a` |
vector of the left hand points of the intervals used in the estimation |

`intervl.b` |
vector of the right hand points of the intervals used in the estimation |

`param.est` |
esimate of the tail shape parameter |

Rene Carmona

Rene Carmona: Heavy Tail Distributions and Financial Applications. Springer Verlag (2008)

Rsafd documentation built on May 31, 2017, 3:14 a.m.

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