shape.vries

Given a sample of exceedances, compute the moment estimator of the positive shape parameter using the ratio of log ratio of exceedance and it's square.

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.vries 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

de Vries shape estimator — shape.vries

<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.vries: de Vries shape estimator

Description

Usage

Value

Arguments

References