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>