shape.pickands

Given a sample of size <code>n</code> of positive exceedances, compute
the real shape parameter \(\xi\) based on the <code>k</code> largest order statistics.

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.pickands 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

Pickand's shape estimator — shape.pickands

<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.pickands: Pickand's shape estimator

Description

Usage

Value

Arguments

References