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smoothtail
View on CRAN: Click
here
Download and install smoothtail package within the R console
Install from CRAN:
install.packages("smoothtail")
Install from Github:
library("remotes")
install_github("cran/smoothtail")
Install by package version:
library("remotes")
install_version("smoothtail", "2.0.5")
Attach the package and use:
library("smoothtail")
Maintained by
Kaspar Rufibach
[Scholar Profile | Author Map]
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2006-12-02
Latest Update: 2016-07-13
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].
How to cite:
Kaspar Rufibach (2006). smoothtail: Smooth Estimation of GPD Shape Parameter. R package version 2.0.5, https://cran.r-project.org/web/packages/smoothtail. Accessed 29 Jan. 2025.
Previous versions and publish date:
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Complete documentation for smoothtail
Functions, R codes and Examples using
the smoothtail R package
Some associated functions: falk . falkMVUE . generalizedPick . gpd . lambdaGenPick . pickands . smoothtail-package .
Some associated R codes: Full smoothtail package functions and examples
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