asvarPickands {RobExtremes} | R Documentation |
Function asvarPickands
computes the asymptotic (co)variance of
a Pickands estimator at a GPD or GEVD model.
asvarPickands( model, alpha=2)
model |
an object of class |
alpha |
numeric > 1; determines the variant of the Pickands-Estimator
based on matching the empirical a1=1-1/alpha and
a1=1-1/alpha^2 quantiles against the
population counter parts. The “classical” Pickands Estimator is
obtained for |
All terms are analytic.
A 2x2 matrix; the covariance.
Peter Ruckdeschel peter.ruckdeschel@uni-oldenburg.de
Ruckdeschel, P. and Horbenko, N. (2011): Optimally-Robust Estimators in Generalized
Pareto Models. ArXiv 1005.1476. To appear at Statistics.
DOI: 10.1080/02331888.2011.628022.
GP <- GParetoFamily(scale=1,shape=0.7) asvarPickands(GP) asvarPickands(GP,alpha=2.3)