block.max: BLOCK MAXIMA ESTIMATION

In Rsafd: Statistical Analysis of Financial Data in R

Description

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.

Usage

block.max(data, overlap = 0, nb.blocks = NA, block.size = 100, method = "ml")

Arguments

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.

Details

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.

Value

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

Author(s)

Rene Carmona

References

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

Rsafd documentation built on May 2, 2019, 5:20 p.m.