Linear Combinations of Ratios of Spacings estimation of generalised Pareto parameters

Source: R/frequentist.R

Uses the Linear Combinations of Ratios of Spacings (LRS) methodology of (Reiss and Thomas, 2007, page 134) to estimate the parameters of the generalised Pareto (GP) distribution, based on a sample of positive values.

gp_lrs(x)

Arguments

x

A numeric vector containing only positive values, assumed to be a random sample from a generalized Pareto distribution.

Value

A numeric vector of length 2. The estimates of the scale parameter

\(\sigma\) and the shape parameter \(\xi\).

References

Reiss, R.-D., Thomas, M. (2007) Statistical Analysis of Extreme Values with Applications to Insurance, Finance, Hydrology and Other Fields.Birkhauser. doi:10.1007/978-3-7643-7399-3 .

See also

gp for details of the parameterisation of the GP distribution.

Examples

u <- quantile(gom, probs = 0.65)
gp_lrs((gom - u)[gom > u])
#> [1] 1.8626800 0.1338447