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>.