Package: smoothtail
Type: Package
Title: Smooth Estimation of GPD Shape Parameter
Version: 1.1.1
Date: 2007-10-04
Author: Kaspar Rufibach <kaspar.rufibach@freesurf.ch> and Samuel Mueller <mueller@maths.uwa.edu.au>
Maintainer: Kaspar Rufibach <kaspar.rufibach@freesurf.ch>
Depends: logcondens
Description: Given independent and identically distributed observations X(1), ..., X(n) from a Generalized Pareto
 distribution with shape parameter gamma in [-1,0], this package offers several estimates to compute estimates of gamma.
 The estimates are based on the principle of replacing the order statistics by quantiles of a distribution
 function based on a log--concave density function. This procedure is justified by the fact that the GPD density
 is log--concave for gamma in [-1,0].
License: GPL version 2 or newer
URL: http://www.stanford.edu/~kasparr , http://www.maths.uwa.edu.au/Members/mueller
Packaged: Thu Oct  4 14:39:58 2007; rufibach
