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smoothtail

Smooth Estimation of GPD Shape Parameter

Given independent and identically distributed observations X(1), ..., X(n) from a Generalized Pareto distribution with shape parameter gamma in [-1,0], 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].

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VersionRepositoryFileSize
2.0.6 rolling linux/jammy R-4.5 smoothtail_2.0.6.tar.gz 50.8 KiB
2.0.6 rolling linux/noble R-4.5 smoothtail_2.0.6.tar.gz 50.8 KiB
2.0.6 rolling source/ R- smoothtail_2.0.6.tar.gz 8.5 KiB
2.0.6 latest linux/jammy R-4.5 smoothtail_2.0.6.tar.gz 50.8 KiB
2.0.6 latest linux/noble R-4.5 smoothtail_2.0.6.tar.gz 50.8 KiB
2.0.6 latest source/ R- smoothtail_2.0.6.tar.gz 8.5 KiB
2.0.6 2026-04-26 source/ R- smoothtail_2.0.6.tar.gz 8.5 KiB
2.0.6 2026-04-23 source/ R- smoothtail_2.0.6.tar.gz 8.5 KiB
2.0.6 2026-04-09 windows/windows R-4.5 smoothtail_2.0.6.zip 53.8 KiB
2.0.6 2025-04-20 source/ R- smoothtail_2.0.6.tar.gz 8.5 KiB

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