Restricting to the largest fourth of the data, returns the number of exceedances that minimizes the Kolmogorov-Smirnov statistic, i.e., the maximum absolute difference between the estimated generalized Pareto and the empirical distribution of exceedances. Relative to the paper, different estimation methods are proposed.
thselect.pickands(xdat, thresh, method = c("mle", "lmom", "quartiles"))a list with components
k0: number of exceedances
thresh0: selected threshold returned by the procedure
thresh: vector of candidate thresholds
dist; vector of Kolmogorov-Smirnoff distance
method; string for the estimation method
scale: estimated scale parameter at the chosen threshold
shape: estimated shape parameter at the chosen threshold
[numeric] vector of observations
[numeric] vector of candidate thresholds. If missing, defaults to order statistics from the 10th to a quarter of the sample size.
[string] estimation method, either the quartiles of Pickands (1975), maximum likelihood, probability weighted moments or L-moments
James Pickands III (1975). Statistical inference using extreme order statistics, Annals of Statistics, 3(1) 119-131, tools:::Rd_expr_doi("10.1214/aos/1176343003")