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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>