Estimator of the second order regular variation parameter \(\rho \leq 0\) parameter for heavy-tailed data proposed by Gomes et al. (2003)
     
    
    Usage
    rho.ghp(xdat, k, alpha = 2)
 
    
    Arguments
- xdat
- vector of positive observations 
- k
- number of highest order statistics to use for estimation 
- alpha
- positive scalar tuning parameter 
 
    
    References
    Gomes, M.I., de Haan, L. & Peng, L. (2002). Semi-parametric Estimation of the Second Order Parameter in Statistics of Extremes. Extremes 5, 387–414. <doi:10.1023/A:1025128326588>