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smoothtail (version 2.0.6)

lambdaGenPick: Auxiliary function to compute Segers' estimator

Description

This function computes

$$\lambda_{\delta, \rho}^c$$

given in Theorem 4.1 of Segers (2005) and is called by generalizedPick. It is not intended to be called by the user.

Arguments

Author

Kaspar Rufibach (maintainer), kaspar.rufibach@gmail.com,
http://www.kasparrufibach.ch

Samuel Mueller, samuel.muller@mq.edu.au

Kaspar Rufibach acknowledges support by the Swiss National Science Foundation SNF, http://www.snf.ch

References

Mueller, S. and Rufibach K. (2009). Smooth tail index estimation. J. Stat. Comput. Simul., 79, 1155--1167.

Segers, J. (2005). Generalized Pickands estimators for the extreme value index. J. Statist. Plann. Inference, 128, 381--396.

See Also

Called by generalizedPick.