gp_lrs {revdbayes}

Linear Combinations of Ratios of Spacings estimation of generalised Pareto parameters

Description

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.

Usage

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])