thselect.pec

This function computes the non-robust Pareto prediction error of Dupuis and Victoria-Feser (2003), termed C-criterion, for the Hill estimator of the shape parameter. The threshold returned is the value of the threshold, taken from order statistics, that minimizes the average prediction error.

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

thselect.pec function

<dl><dt>xdat</dt>
<dd>vector of observations</dd>
<dt>kmax</dt>
<dd>maximum number of order statistics to consider. Default to sample size if left unspecified.</dd></dl>

Arguments

Prediction error C-criterion threshold selection method — thselect.pec

<dl>

<dt>xdat</dt>
<dd>vector of observations</dd>


<dt>kmax</dt>
<dd>maximum number of order statistics to consider. Default to sample size if left unspecified.</dd>

</dl>

thselect.pec: Prediction error C-criterion threshold selection method

Description

Usage

Value

Arguments

References