asvarPickands: Function to compute asymptotic variance of Pickands estimator
Description
Function asvarPickands computes the asymptotic (co)variance of
a Pickands estimator at a GPD or GEVD model.
Usage
asvarPickands( model, alpha=2)
Arguments
model
an object of class "ScaleShapeUnion".
alpha
numeric > 1; determines the variant of the Pickands-Estimator
based on matching the empirical \(a_1=1-1/\alpha\) and
\(a_1=1-1/\alpha^2\) quantiles against the
population counter parts. The ``classical'' Pickands Estimator is
obtained for alpha=2 (GPD) resp. for alpha=1/log(2) (GEVD).
Value
A 2x2 matrix; the covariance.
Details
All terms are analytic.
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.