gpdfit

a numeric vector. The sample from which to estimate the parameters.

Estimate the parameters $k$ and $\sigma$ of the generalized Pareto
distribution, given a sample $x$.

internal

We efficiently approximate leave-one-out cross-validation (LOO)
  using very good importance sampling (VGIS), a new procedure for regularizing
  importance weights. As a byproduct of our calculations, we also obtain
  approximate standard errors for estimated predictive errors, and for the
  comparison of predictive errors between two models. We also compute the
  widely applicable information criterion (WAIC).

gpdfit: Generalized Pareto distribution

Description

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See Also