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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>.