smoothtail: 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], 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].

Version: 1.1.4
Depends: logcondens
Published: 2009-10-15
Author: Kaspar Rufibach and Samuel Mueller
Maintainer: Kaspar Rufibach <kaspar.rufibach at ifspm.uzh.ch>
License: GPL (≥ 2)
URL: http://www.biostat.uzh.ch/aboutus/people/rufibach.html, http://www.maths.usyd.edu.au/ut/people?who=S_Mueller
CRAN checks: smoothtail results

Downloads:

Package source: smoothtail_1.1.4.tar.gz
MacOS X binary: smoothtail_1.1.4.tgz
Windows binary: smoothtail_1.1.4.zip
Reference manual: smoothtail.pdf
Old sources: smoothtail archive