Package: smoothtail
Type: Package
Title: Smooth Estimation of GPD Shape Parameter
Version: 2.0.1
Date: 2011-11-29
Author: Kaspar Rufibach <kaspar.rufibach@gmail.com> and Samuel Mueller <s.mueller@maths.usyd.edu.au>
Maintainer: Kaspar Rufibach <kaspar.rufibach@gmail.com>
Depends: logcondens (>= 2.0.0)
Description: Given independent and identically distributed observations X(1), ..., X(n) from a Generalized Pareto
 distribution with shape parameter gamma in [-1,0], this package 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].
License: GPL (>= 2)
URL: http://www.kasparrufibach.ch,
        http://www.maths.usyd.edu.au/ut/people?who=S_Mueller
Packaged: 2011-11-29 06:00:33 UTC; rufibach
Repository: CRAN
Date/Publication: 2011-11-29 07:02:12
