GPDTAILS-class {spd}

Class: GPDTAILS

Description

Class: SPD with Generalized Pareto Distribution (GPD) Tails

Objects from the Class

Objects can be created by calling spdfit. The main implemented class of the spd package holding the details of the fitted object with gpd tails.

Slots

call:

...

method:

the gpd fitting method

kernel:

the kernel type

data:

the original dataset

threshold:

the upper and lower thresholds fitted

ptails:

the upper and lower cutoff points.

fit:

the upper and lower gpd fit and the interior kernel fit objects.

title:

optional title of project

description:

optional description

Extends

Class SPD, directly.

Author(s)

Alexios Ghalanos

References

Carmona, R. and J. Morrisson (2001). Heavy Tails and Copulas with Evanesce, ORFE Tech. Report, Princeton University
Carmona, R. (2001). Statistical Analysis of Financial Data, with an implementation in Splus