CramTest (version 1.5)

Calc.Sigma: Generalised Pareto Distribution theoretical and empirical variance difference

Description

Calculates the difference between the theoretical variance for the Generalised Pareto Distribution (GPD) and the empirical variance of some data.

Usage

Calc.Sigma(sigma, xi, variance)

Arguments

sigma

a number indicating the scale parameter for the GPD.

xi

a number indicating the shape parameter for the GPD.

variance

a number indicating the sample variance.

Details

The inputs must be numeric and a single value.

For this function to be well defined, xi<1/2.

All parameters must be provided.

This function can be optimised to find the fitted value of the scale parameter Sigma for the GPD if the shape parameter is known.

Examples

# NOT RUN {
	data = rnorm(100)
	s = sd(data)
	Calc.Sigma(0.25,0.25,s)
# }