Estimator of the second order regular variation parameter \(\rho \leq 0\) parameter for heavy-tailed data proposed by Drees and Kaufmann (1998)
Usage
rho.dk(xdat, k, tau = 0.5)
Arguments
- xdat
vector of positive observations
- k
number of highest order statistics to use for estimation
- tau
tuning parameter \(\tau \in (0,1)\)
References
Drees, H. and E. Kaufmann (1998). Selecting the optimal sample fraction in univariate extreme value estimation, Stochastic Processes and their Applications, 75(2), 149-172, <doi:10.1016/S0304-4149(98)00017-9>.