Estimator of the second order tail index parameter — fit.rho • mev

Estimator of the second order tail index parameter

Usage

fit.rho(xdat, k, method = c("fagh", "dk", "ghp", "gbw"), ...)

Arguments

xdat: vector of positive observations
k: number of highest order statistics to use for estimation
method: string for the estimator
...: additional arguments passed to individual routinescurrently ignored.

Examples

# Example with rho = -0.2
n <- 1000
xdat <- mev::rgp(n = n, shape = 0.2)
kmin <- floor(n^0.995)
kmax <- ceiling(n^0.999)
rho_est <- fit.rho(
   xdat = xdat,
   k = n - kmin:kmax)
rho_med <- mean(rho_est$rho)