smoothtail
Smooth Estimation of GPD Shape Parameter
v2.0.6
·
Apr 5, 2025
·
GPL (>= 2)
Description
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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OK 14 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE Mar 9, 2026
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2.0.6
Mar 9, 2026