shape.moment

Given a sample of exceedances, compute the moment estimator of the real shape parameter.

Various tools for the analysis of univariate, multivariate and functional extremes. Exact simulation from max-stable processes (Dombry, Engelke and Oesting, 2016, <doi:10.1093/biomet/asw008>, R-Pareto processes for various parametric models, including Brown-Resnick (Wadsworth and Tawn, 2014, <doi:10.1093/biomet/ast042>) and Extremal Student (Thibaud and Opitz, 2015, <doi:10.1093/biomet/asv045>). Threshold selection methods, including Wadsworth (2016) <doi:10.1080/00401706.2014.998345>, and Northrop and Coleman (2014) <doi:10.1007/s10687-014-0183-z>. Multivariate extreme diagnostics. Estimation and likelihoods for univariate extremes, e.g., Coles (2001) <doi:10.1007/978-1-4471-3675-0>.

Leo Belzile

Modelling of Extreme Values

Jennifer L. Wadsworth

Paul J. Northrop

Raphael Huser

Scott D. Grimshaw

Jin Zhang

Michael A. Stephens

Art B. Owen

shape.moment function

<dl><dt>xdat</dt>
<dd>vector of positive observations of length \(n\)</dd>
<dt>k</dt>
<dd>number of largest order statistics</dd></dl>

Arguments

Dekkers and de Haan moment estimator for the shape — shape.moment

<dl>

<dt>xdat</dt>
<dd>vector of positive observations of length \(n\)</dd>


<dt>k</dt>
<dd>number of largest order statistics</dd>

</dl>

shape.moment: Dekkers and de Haan moment estimator for the shape

Description

Usage

Value

Arguments

References