Given a sample of size n
of positive exceedances, compute
the real shape parameter \(\xi\) based on the k
largest order statistics.
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
Pickands, III, J. (1975). Statistical inference using extreme order statistics. Annals of Statistics, 3, 119-131.