CramTest (version 1.5)

Calc.Xi: Generalised Pareto Distribution theoretical and empirical skewness difference

Description

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

Usage

Calc.Xi(xi, skewness)

Arguments

xi

a number indicating the shape parameter for the GPD.

skewness

a number indicating the sample skewness.

Details

The inputs must be numeric and a single value.

For this function to be well defined, xi<1/3.

All parameters must be provided.

This function can be optimised to find the fitted value of the shape parameter Xi for the GPD.

Examples

# NOT RUN {
	data = rnorm(100)
	g = skewness(data)
	Calc.Xi(0.25,g)
# }