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:
smoothtail_2.0.5.tar.gz
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smoothtail.pdf |smoothtail.html✨
smoothtail/json (API)
NEWS
| # Install 'smoothtail' in R: |
| install.packages('smoothtail', repos = c('https://numbersman77.r-universe.dev', 'https://cloud.r-project.org')) |
This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.
Last updated 8 years agofrom:1780588b1c. Checks:OK: 3 NOTE: 4. Indexed: yes.
| Target | Result | Date |
|---|---|---|
| Doc / Vignettes | OK | Nov 01 2024 |
| R-4.5-win | NOTE | Nov 01 2024 |
| R-4.5-linux | NOTE | Nov 01 2024 |
| R-4.4-win | NOTE | Nov 01 2024 |
| R-4.4-mac | NOTE | Nov 01 2024 |
| R-4.3-win | OK | Nov 01 2024 |
| R-4.3-mac | OK | Nov 01 2024 |
Exports:dgpdfalkfalkMVUEgeneralizedPicklambdaGenPickpgpdpickandsqgpdrgpd
Dependencies:FNNkernlabKernSmoothkslatticelogcondensMatrixmclustmgcvmulticoolmvtnormnlmepracmaRcpp
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| Smooth Estimation of GPD Shape Parameter | smoothtail-package logcon logcondens smoothtail tail index |
| Compute original and smoothed version of Falk's estimator | falk |
| Compute original and smoothed version of Falk's estimator for a known endpoint | falkMVUE |
| Compute generalized Pickand's estimator | generalizedPick |
| The Generalized Pareto Distribution | dgpd gpd pgpd qgpd rgpd |
| Auxiliary function to compute Segers' estimator | lambdaGenPick |
| Compute original and smoothed version of Pickands' estimator | pickands |
