cievi function

Confidence interval for extreme value index

Confidence interval for extreme value index estimation by Tm method. utf8

cievi(nextremes, evi=0, conf.level=0.90, m=10, nsim=100)

Arguments

• nextremes: the number of upper extremes to be used.
• evi: extreme value index. In particular, the shape parammeter of a generalized Pareto distribution.
• conf.level: confidence level of the interval.
• m: number of thresholds to do multiplicial test.
• nsim: number of simulation.

Returns

A numerical vector with two elements, containing the limits of the interval.

References

del Castillo, J. and Padilla, M. (2016). Modeling extreme values by the residual coefficient of variation. SORT Statist. Oper. Res. Trans. 40 (2), 303-320.

del Castillo, J. and Serra, I. (2015). Likelihood inference for Generalized Pareto Distribution. Computational Statistics and Data Analysis, 83 , 116-128.

del Castillo, J., Daoudi, J. and Lockhart, R. (2014). Methods to Distinguish Between Polynomial and Exponential Tails. Scandinavian Journal of Statistics, 41 , 382-393.

Author(s)

Joan del Castillo, David Moriña Soler and Isabel Serra

See Also

ercv-package, cievi, ccdfplot, cvevi, cvplot, evicv, fitpot, ppot, qpot, tdata, thrselect, Tm

Examples

cievi(70, evi=0)