The hardware and bandwidth for this mirror is donated by dogado GmbH, the Webhosting and Full Service-Cloud Provider. Check out our Wordpress Tutorial.
If you wish to report a bug, or if you are interested in having us mirror your free-software or open-source project, please feel free to contact us at mirror[@]dogado.de.

smoothtail: Smooth Estimation of GPD Shape Parameter

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].

Version: 2.0.5
Depends: logcondens (≥ 2.0.0)
Imports: stats
Published: 2016-07-13
DOI: 10.32614/CRAN.package.smoothtail
Author: Kaspar Ru{f}{i}bach and Samuel Mueller
Maintainer: Kaspar Rufibach <kaspar.rufibach at gmail.com>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
URL: http://www.kasparrufibach.ch, www.maths.usyd.edu.au/ut/people?who=S_Mueller
NeedsCompilation: no
Materials: NEWS
CRAN checks: smoothtail results

Documentation:

Reference manual: smoothtail.pdf

Downloads:

Package source: smoothtail_2.0.5.tar.gz
Windows binaries: r-devel: smoothtail_2.0.5.zip, r-release: smoothtail_2.0.5.zip, r-oldrel: smoothtail_2.0.5.zip
macOS binaries: r-release (arm64): smoothtail_2.0.5.tgz, r-oldrel (arm64): smoothtail_2.0.5.tgz, r-release (x86_64): smoothtail_2.0.5.tgz, r-oldrel (x86_64): smoothtail_2.0.5.tgz
Old sources: smoothtail archive

Linking:

Please use the canonical form https://CRAN.R-project.org/package=smoothtail to link to this page.

These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.
Health stats visible at Monitor.