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smoothtail  

Smooth Estimation of GPD Shape Parameter
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]
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 07 Apr. 2025.
Previous versions and publish date:
1.0 (2006-12-02 16:31), 1.1.0 (2007-08-25 18:50), 1.1.1 (2007-10-04 15:19), 1.1.2 (2008-08-25 17:59), 1.1.3 (2009-06-04 18:55), 1.1.4 (2009-10-15 13:16), 2.0.0 (2010-08-31 07:57), 2.0.1 (2011-11-29 08:02), 2.0.3 (2014-02-06 08:28), 2.0.4 (2015-07-04 15:16), 2.0.5 (2016-07-13 10:19)
Other packages that cited smoothtail R package
View smoothtail citation profile
Other R packages that smoothtail depends, imports, suggests or enhances
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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