RobExtremes (version 1.2.0)

asvarMedkMAD: Function to compute asymptotic variance of MedkMAD estimator

Description

Function asvarMedkMAD computes the asymptotic (co)variance of a MedkMAD estimator at a Scale-Shape model.

Usage

asvarMedkMAD( model, k=1)

Arguments

model

an object of class "ScaleShapeUnion".

k

numeric (>0); additional parameter for kMAD.

Value

A 2x2 matrix; the covariance.

Details

For the Generalized Pareto Family all terms are analytic; in case of the general scale-shape model, numerical integration is used.

References

Ruckdeschel, P. and Horbenko, N. (2011): Optimally-Robust Estimators in Generalized Pareto Models. ArXiv 1005.1476. To appear at Statistics. DOI: 10.1080/02331888.2011.628022.

See Also

LDEstimator

Examples

# NOT RUN {
GP <- GParetoFamily(scale=1,shape=0.7)
asvarMedkMAD(GP,k=1)

## for didactical purposes turn GP into a non-GPD
setClass("noGP",contains="L2ScaleShapeUnion")
GP2 <- GP
class(GP2) <- "noGP"
asvarMedkMAD(GP2,k=1) ### uses numerical integration
# }