de Vries shape estimator

Given a sample of exceedances, compute the moment estimator of the positive shape parameter using the ratio of log ratio of exceedance and it's square.

Usage

shape.vries(xdat, k)

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

de Haan, L. and Peng, L. (1998). Comparison of tail index estimators, Statistica Neerlandica 52, 60-70.

de Haan, L. and Peng, L. (1998). Comparison of tail index estimators. Statistica Neerlandica, 52: 60-70. doi:10.1111/1467-9574.00068