cievi {ercv}

Confidence interval for extreme value index

Description

Confidence interval for extreme value index estimation by Tm method.

Usage

cievi(nextremes, evi=0, conf.level=0.90, m=10, nsim=100) 

Arguments

nextremes

the number of upper extremes to be used.

evi

extreme value index. In particular, the shape parammeter of a generalized Pareto distribution.

conf.level

confidence level of the interval.

m

number of thresholds to do multiplicial test.

nsim

number of simulation.

Value

A numerical vector with two elements, containing the limits of the interval.

Author(s)

Joan del Castillo, David Moriña Soler and Isabel Serra

References

del Castillo, J. and Padilla, M. (2016). Modeling extreme values by the residual coefficient of variation. SORT Statist. Oper. Res. Trans. 40(2), 303-320.

del Castillo, J. and Serra, I. (2015). Likelihood inference for Generalized Pareto Distribution. Computational Statistics and Data Analysis, 83, 116-128.

del Castillo, J., Daoudi, J. and Lockhart, R. (2014). Methods to Distinguish Between Polynomial and Exponential Tails. Scandinavian Journal of Statistics, 41, 382-393.

See Also

ercv-package, cievi, ccdfplot, cvevi, cvplot, evicv, fitpot, ppot, qpot, tdata, thrselect, Tm

Examples

cievi(70, evi=0)