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: 2.0.4
Depends: logcondens (≥ 2.0.0)
Imports: stats
Published: 2015-07-04
Author: Kaspar Ru{f}{i}bach and Samuel Mueller
Maintainer: Kaspar Rufibach <kaspar.rufibach at>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: no
Materials: NEWS
CRAN checks: smoothtail results


Reference manual: smoothtail.pdf
Package source: smoothtail_2.0.4.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
OS X Snow Leopard binaries: r-release: smoothtail_2.0.4.tgz, r-oldrel: smoothtail_2.0.3.tgz
OS X Mavericks binaries: r-release: smoothtail_2.0.4.tgz
Old sources: smoothtail archive