gpdMultScore {eva}

GPD Multiplier Score Test

Description

Fast weighted bootstrap alternative to the parametric bootstrap procedure for the Generalized Pareto score test.

Usage

gpdMultScore(data, bootnum, information = c("expected", "observed"))

Arguments

data

Data should be in vector form.

bootnum

Number of bootstrap replicates.

information

To use expected (default) or observed information in the test.

Value

statistic

Test statistic.

p.value

P-value for the test.

theta

Value of theta used in the test.

Examples

x <- rgpd(100, loc = 0, scale = 1, shape = 0.25)
gpdMultScore(x, bootnum = 1000)