Package: smoothtail 2.0.5

smoothtail: Smooth Estimation of GPD Shape Parameter

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].

Authors:Kaspar Ru{f}{i}bach <[email protected]> and Samuel Mueller <[email protected]>

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Last updated 8 years agofrom:1780588b1c. Checks:OK: 3 NOTE: 4. Indexed: yes.

Exports:dgpdfalkfalkMVUEgeneralizedPicklambdaGenPickpgpdpickandsqgpdrgpd

Dependencies:FNNkernlabKernSmoothkslatticelogcondensMatrixmclustmgcvmulticoolmvtnormnlmepracmaRcpp