shape.osz

Given a random sample of <code>n</code> exceedances, the estimator
returns an estimator of the shape parameter or extreme
value index using a kernel of order 3, based on
<code>k</code> largest exceedances of <code>xdat</code>. Note that the method does not allow for ties.

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.osz function

<dl><dt>xdat</dt>
<dd>vector of observations of length \(n\)</dd>
<dt>k</dt>
<dd>number of largest order statistics \(3 \leq k &lt; n\).</dd>
<dt>...</dt>
<dd>additional arguments for backward compatibility</dd></dl>

Arguments

Extreme U-statistic Pickands estimator — shape.osz

<dl>

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


<dt>k</dt>
<dd>number of largest order statistics \(3 \leq k &lt; n\).</dd>


<dt>...</dt>
<dd>additional arguments for backward compatibility</dd>

</dl>

shape.osz: Extreme U-statistic Pickands estimator

Description

Usage

Arguments

Details

References

Examples