Smooth Estimation of GPD Shape Parameter
Overview
Given independent and identically distributed observations X(1), ..., X(n) from a Generalized Pareto distribution with shape parameter gamma in [-1,0], offers several estimates to compute estimates of gamma. The estimates are based on the principle of replacing the order statistics by quantiles of a distribution function based on a log--concave density function. This procedure is justified by the fact that the GPD density is log--concave for gamma in [-1,0].
Install
Health
- OK13 OK2026-08-04
- NOTE12 OK, 1 NOTE2026-08-01
- OK14 OK2026-03-10
Documentation
- Help pages
- 7includes a package overview page
- Examples that run
- 100%5 run in a plain check
- Exported functions with examples
- 67%
- Documented parameters
- 93%
- Return-value docs
- 83%
- Help pages citing references
- 100%
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Dependencies
Code & Tests
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- RR 4.6.0 released · 2026-04-24
- RR 4.5.0 released · 2025-04-11
- 2.0.6Latest
- RR 4.4.0 released · 2024-04-24
- RR 4.3.0 released · 2023-04-21
- RR 4.2.0 released · 2022-04-22
- RR 4.1.0 released · 2021-05-18
- RR 4.0.0 released · 2020-04-24
- RR 3.6.0 released · 2019-04-26
- RR 3.5.0 released · 2018-04-23
- RR 3.4.0 released · 2017-04-21
- 2.0.52016-07-13 · diff ↗
- RR 3.3.0 released · 2016-05-03
- 2.0.42015-07-04 · diff ↗
- RR 3.2.0 released · 2015-04-16
- RR 3.1.0 released · 2014-04-10
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- 2.0.32014-02-06 · diff ↗
- RR 3.0.0 released · 2013-04-03
- RR 2.15.0 released · 2012-03-30
- 2.0.12011-11-29 · diff ↗ ·
added 9 exports
dgpd, falk, falkMVUE, generalizedPick, lambdaGenPick, pgpd, pickands, qgpd, rgpd - RR 2.14.0 released · 2011-10-31
- RR 2.13.0 released · 2011-04-13
- RR 2.12.0 released · 2010-10-15
- 2.0.02010-08-31 · diff ↗
- RR 2.11.0 released · 2010-04-22
- RR 2.10.0 released · 2009-10-26
- 1.1.42009-10-15 · diff ↗
- 1.1.32009-06-04 · diff ↗
- RR 2.9.0 released · 2009-04-17
- RR 2.8.0 released · 2008-10-20
- 1.1.22008-08-25 · diff ↗
- RR 2.7.0 released · 2008-04-22
- 1.1.12007-10-04 · diff ↗
- RR 2.6.0 released · 2007-10-03
- 1.1.02007-08-25 · diff ↗
- RR 2.5.0 released · 2007-04-24
- 1.02006-12-02
- RR 2.4.0 released · 2006-10-03
Package metadata
- First published
- 2006-12-02
- Total releases
- 12 / 20 yrs
- License
- GPL (>= 2) OSI
- Download size
- 8.6 KB
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