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].


Reference manual

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install.packages("smoothtail")

2.0.6 by Kaspar Rufibach, 2 years ago


http://www.kasparrufibach.ch


Browse source code at https://github.com/cran/smoothtail


Authors: Kaspar Rufibach [aut, cre] , Samuel Mueller [aut]


Documentation:   PDF Manual  


GPL (>= 2) license


Imports stats

Depends on logcondens


See at CRAN