Package: smoothtail
Type: Package
Title: Smooth Estimation of GPD Shape Parameter
Version: 2.0.3
Date: 2014-02-06
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)
Description: 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].
License: GPL (>= 2)
URL: http://www.kasparrufibach.ch,
        www.maths.usyd.edu.au/ut/people?who=S_Mueller
Packaged: 2014-02-06 06:37:35 UTC; rufibach
NeedsCompilation: no
Repository: CRAN
Date/Publication: 2014-02-06 08:28:42
Built: R 3.1.0; ; 2014-02-07 13:27:21 UTC; unix
