PickandsXU {mev} | R Documentation |
Given a random sample of exceedances, the estimator
returns an estimator of the shape parameter or extreme
value index using a kernel of order 3, based on
m
largest exceedances of xdat
.
PickandsXU(xdat, m)
xdat |
vector of observations of length |
m |
number of largest order statistics |
The calculations are based on the recursions provided in Lemma 4.3 of Oorschot et al.
Oorschot, J, J. Segers and C. Zhou (2023+), Tail inference using extreme U-statistics
samp <- rgp(n = 1000, shape = 0.2)
PickandsXU(samp, m = 3)