evicv function

Extreme value index

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

evicv(cv)

Arguments

• cv: coefficient of variation. It has to satisfy cv > 0.

Returns

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

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, fitpot, ppot, qpot, tdata, thrselect, Tm

Examples

evicv(2)