Package: smoothtail
Type: Package
Title: Smooth Estimation of GPD Shape Parameter
Version: 2.0.5
Date: 2016-07-12
Author: Kaspar Ru{f}{i}bach <kaspar.rufibach@gmail.com> and Samuel Mueller <samuel.mueller@sydney.edu.au>
Maintainer: Kaspar Rufibach <kaspar.rufibach@gmail.com>
Depends: logcondens (>= 2.0.0)
Imports: stats
Description: 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].
License: GPL (>= 2)
URL: http://www.kasparrufibach.ch,
        www.maths.usyd.edu.au/ut/people?who=S_Mueller
NeedsCompilation: no
Packaged: 2016-07-12 13:22:28 UTC; rufiback
Repository: CRAN
Date/Publication: 2016-07-13 10:19:42
Built: R 4.1.3; ; 2023-04-17 16:46:02 UTC; windows
