| est.gamma.func {EXRQ} | R Documentation |
Estimation of the Extreme Value Index on the Original Scale
Description
This function estimates the extreme value index on the original scale based on the estimated intermediate conditional quantiles on the transformed scale
Usage
est.gamma.func(taus, Lam.Q, lam, a = 0, tol)
Arguments
taus |
a grid of intermediate high quantile levels |
Lam.Q |
a vector of the same length as taus, representing the estimated intermediate conditional quantiles of Y (at taus) on the transformed scale |
lam |
the power-transformation parameter |
a |
location shift parameter in the power transformation (introduced to avoid negative y values) |
tol |
the tolerance level for checking quantile crossing issue |
Value
A list is returned with the following components.
gamma.x: the estimated EVI. If quantile crossing is too severe, which suggests that the estimated intermediate conditional quantiles are unstable, then NA is returned.
Q: the estimated conditional quantile of Y on the original scale