smoothtail (2.0.1)
Smooth Estimation of GPD Shape Parameter.
http://www.kasparrufibach.ch
http://www.maths.usyd.edu.au/ut/people?who=S_Mueller
http://cran.r-project.org/web/packages/smoothtail
Given independent and identically distributed observations X(1), ..., X(n) from a Generalized Pareto distribution with shape parameter gamma in [-1,0], this package 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].
Maintainer:
Kaspar Rufibach
Author(s): Kaspar Rufibach <kaspar.rufibach@gmail.com> and Samuel Mueller <s.mueller@maths.usyd.edu.au>
License: GPL (>= 2)
Uses: logcondens
Released over 1 year ago.
5 previous versions
- smoothtail_2.0.0. Released almost 3 years ago.
- smoothtail_1.1.4. Released over 3 years ago.
- smoothtail_1.1.3. Released about 4 years ago.
- smoothtail_1.1.2. Released over 12 years ago.
- smoothtail_1.1.1. Released over 5 years ago.
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