Language

Package: r-tea @ 1.1

Synopsis

Threshold estimation approaches

Description

This package provides different approaches for selecting the threshold in generalized Pareto distributions. Most of them are based on minimizing the AMSE-criterion or at least by reducing the bias of the assumed GPD-model. Others are heuristically motivated by searching for stable sample paths, i.e. a nearly constant region of the tail index estimator with respect to k, which is the number of data in the tail. The third class is motivated by graphical inspection. In addition, a sequential testing procedure for GPD-GoF-tests is also implemented here.

Home page
https://cran.r-project.org/web/packages/tea/
Location
gnu/packages/cran.scm (line: 22553, column: 2)
License

Lint warnings

LinterMessageLocation
No lint warnings