ercv (version 1.0.0)

evicv: Extreme value index

Description

The extreme value index for a given coefficient of variation in the generalized Pareto distribution.

Usage

evicv(cv)

Arguments

cv

coefficient of variation. It has to satisfy cv > 0.

Value

The extreme value index for a given coefficient of variation in the generalized Pareto distribution as a numerical value.

References

del Castillo, J. and Padilla, M. (2016). Modeling extreme values by the residual coefficient of variation. SORT Statist. Oper. Res. Trans. 40(2), 303-320.

del Castillo, J. and Serra, I. (2015). Likelihood inference for Generalized Pareto Distribution. Computational Statistics and Data Analysis, 83, 116-128.

del Castillo, J., Daoudi, J. and Lockhart, R. (2014). Methods to Distinguish Between Polynomial and Exponential Tails. Scandinavian Journal of Statistics, 41, 382-393.

See Also

ercv-package, cievi, ccdfplot, cvevi, cvplot, fitpot, ppot, qpot, tdata, thrselect, Tm

Examples

# NOT RUN {
evicv(2)
# }