PickandsXU

Given a random sample of exceedances, the estimator
returns an estimator of the shape parameter or extreme
value index using a kernel of order 3, based on
<code>m</code> largest exceedances of <code>xdat</code>.

Various tools for the analysis of univariate, multivariate and functional extremes. Exact simulation from max-stable processes [Dombry, Engelke and Oesting (2016) <doi:10.1093/biomet/asw008>, R-Pareto processes for various parametric models, including Brown-Resnick (Wadsworth and Tawn, 2014, <doi:10.1093/biomet/ast042>) and Extremal Student (Thibaud and Opitz, 2015, <doi:10.1093/biomet/asv045>). Threshold selection methods, including Wadsworth (2016) <doi:10.1080/00401706.2014.998345>, and Northrop and Coleman (2014) <doi:10.1007/s10687-014-0183-z>. Multivariate extreme diagnostics. Estimation and likelihoods for univariate extremes, e.g., Coles (2001) <doi:10.1007/978-1-4471-3675-0>.

Leo Belzile

Modelling of Extreme Values

Jennifer L. Wadsworth

Paul J. Northrop

Scott D. Grimshaw

Jin Zhang

Michael A. Stephens

Art B. Owen

Raphael Huser

PickandsXU function

<dl><dt>xdat</dt>
<dd>vector of observations of length \(n\)</dd>
<dt>m</dt>
<dd>number of largest order statistics \(3 \leq m \leq n\). Choosing \(m = n\) amounts to using only the three largest observations in the sample.</dd></dl>

Arguments

Extreme U-statistic Pickands estimator — PickandsXU

<dl>

<dt>xdat</dt>
<dd>vector of observations of length \(n\)</dd>


<dt>m</dt>
<dd>number of largest order statistics \(3 \leq m \leq n\). Choosing \(m = n\) amounts to using only the three largest observations in the sample.</dd>

</dl>

PickandsXU: Extreme U-statistic Pickands estimator

Description

Usage

Arguments

Details

References

Examples