Class: Generalized Pareto Distribution

Description

Locally implemented and slightly modified class for the generalized pareto distribution (gpd) fit, borrowed from package fExtremes. Created on modelling the tails of the data by spdfit

Objects from the Class

Objects of this class cannot be created by user as the methods are not exported.

Slots

call:

Object of class "call"

method:

Object of class "character"

parameter:

Object of class "list"

data:

Object of class "list"

fit:

Object of class "list"

residuals:

Object of class "numeric"

title:

Object of class "character"

description:

Object of class "character"

Note

S3 plot method exists which provides for visual inspection of the fit and is called by the higher level S3 plot method of the SPD class

Author(s)

Alec Stephenson for the functions from R\'s "evd-package", Alec Stephenson for the functions from R\'s "evir-package", Alexander McNeil for the EVIS functions underlying the "evir-package", Diethelm Wuertz for the functions from R\'s "fExtremes-package", M.P.Wand and M.C.Jones for the functions from R\'s "KernSmooth-package", Alexios Ghalanos for this package.

References

Carmona, R. and J. Morrisson (2001). Heavy Tails and Copulas with Evanesce, ORFE Tech. Report, Princeton University
Carmona, R. (2001). Statistical Analysis of Financial Data, with an implementation in Splus
Embrechts, P., Klueppelberg, C., Mikosch, T. (1997); Modelling Extremal Events, Springer