PickandsXU {mev}

Extreme U-statistic Pickands estimator

Description

Given a random sample of exceedances, the estimator returns an estimator of the shape parameter or extreme value index using a kernel of order 3, based on m largest exceedances of xdat.

Usage

PickandsXU(xdat, m)

Arguments

xdat

vector of observations of length n

m

number of largest order statistics 3 \leq m \leq n. Choosing m = n amounts to using only the three largest observations in the sample.

Details

The calculations are based on the recursions provided in Lemma 4.3 of Oorschot et al.

References

Oorschot, J, J. Segers and C. Zhou (2023), Tail inference using extreme U-statistics, Electron. J. Statist. 17(1): 1113-1159. doi:10.1214/23-EJS2129

Examples

samp <- rgp(n = 1000, shape = 0.2)
PickandsXU(samp, m = 3)