cvevi function

Coefficient of variation for a given extreme value index

The coefficient of variation for a given extreme value index in the generalized Pareto distribution. utf8

cvevi(evi)

Arguments

• evi: extreme value index. In particular, the shape parameter of a generalized Pareto distribution. It has to satisfy evi < 1/2.

Returns

A numerical value containing the coefficient of variation for the given extreme value index.

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

cvevi(-1)