This estimator estimates the real shape parameter based on generalized quantile plots based on mean excess functions, generalized median excesses or trimmed mean excesses.
shape.genquant(
xdat,
k,
type = c("genmean", "genmed", "trimmean"),
weight,
p = 0.5
)n vector of observations
number of upper order statistics
string indicating the estimator choice, one of genmean, genmed and trimmean.
weight a kernel function on \([0,1]\)
number between zero and one giving the proportion of order statistics for the second threshold
Beirlant, J., Vynckier P. and J.L. Teugels (1996). Excess functions and estimation of the extreme-value index. Bernoulli, 2(4), 293-318.