Given a sample of exceedances, compute the first four L-moments and use either the first two to obtain the scale and shape (default), or else use L-skewness and L-scale to compute the scale and shape of the generalized Pareto distribution
Usage
gpd.lmom(xdat, thresh, sorted = FALSE, Lskew = FALSE)
Arguments
- xdat
[numeric] vector of observations
- thresh
[numeric] optional threshold argument
- sorted
[logical] if TRUE, observations are sorted in increasing order
- Lskew
[logical]; if TRUE, shape is obtained from L-skewness rather than first two moments.
Value
a vector of length two with the scale and shape estimates