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Second order tail index estimator of Goegebeur et al. (2008)

Source: R/tailindex.R
rho.gbw.Rd

Estimator of the second order regular variation parameter \(\rho \leq 0\) parameter for heavy-tailed data based on ratio of kernel goodness-of-fit statistics.

Usage

rho.gbw(xdat, k)

Arguments

xdat

vector of positive observations

k

number of highest order statistics to use for estimation

References

Goegebeur, Y., J. Beirlant and T. de Wet (2008). Linking Pareto-tail kernel goodness-of-fit statistics with tail index at optimal threshold and second order estimation. REVSTAT-Statistical Journal, 6(1), 51-69. <doi:10.57805/revstat.v6i1.57>