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], this package 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].