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smoothtail (version 2.0.5)

Smooth Estimation of GPD Shape Parameter

Description

Given independent and identically distributed observations X(1), ..., X(n) from a Generalized Pareto distribution with shape parameter gamma in [-1,0], offers several estimates to compute estimates of gamma. The estimates are based on the principle of replacing the order statistics by quantiles of a distribution function based on a log--concave density function. This procedure is justified by the fact that the GPD density is log--concave for gamma in [-1,0].

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Install

install.packages('smoothtail')

Monthly Downloads

208

Version

2.0.5

License

GPL (>= 2)

Maintainer

Last Published

July 13th, 2016