Given a sample of exceedances, compute the moment estimator of the real shape parameter.
Arguments
- xdat
vector of positive observations of length \(n\)
- k
number of largest order statistics
Value
a data frame with the number of order statistics k and the shape parameter estimate shape, or a single numeric value if k is a scalar.
References
Dekkers, A.L.M. and de Haan, L. (1989). On the estimation of the extreme-value index and large quantile estimation., Annals of Statistics, 17, 1795-1833.