Minimum distance threshold selection procedure

Minimum distance threshold selection procedure

Usage

thselect.mdps(xdat)

Arguments

xdat

vector of positive exceedances

Value

a list with components

k0

order statistic corresponding to threshold (number of exceedances)

shape

Hill's estimator of the tail index based on k0 exceedances

thresh0

numerical value of the threshold, the n-k0+1 order statistic of the original sample

References

Clauset, A., Shalizi, C.R. and Newman, M.E.J. (2009). Power-Law Distributions in Empirical Data. SIAM Review. Society for Industrial and Applied Mathematics, 51, 661-703, doi:10.1137/070710111