Package: smoothtail
Type: Package
Title: Smooth Estimation of GPD Shape Parameter
Version: 1.1.2
Date: 2008-23-08
Author: Kaspar Rufibach <kaspar.rufibach@gmail.com> and Samuel Mueller <mueller@maths.uwa.edu.au>
Maintainer: Kaspar Rufibach <kaspar.rufibach@gmail.com>
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.maths.usyd.edu.au/ut/people?who=S_Mueller
Packaged: Mon Aug 25 11:19:36 2008; rufibach
