tdata function

Transforms a heavy-tailed sampled to non-heavy tailed

Transformation of a sample with assumption of heavy-tail to a sample with non-heavy tail. utf8

tdata(data, threshold = NA, nextremes = NA, sigma=NA)

Arguments

• data: a numeric vector.
• threshold: a threshold value (either this or nextremes must be given but not both).
• nextremes: the number of upper extremes to be used (either this or threshold must be given but not both).
• sigma: the scale parammeter divided by shape parameter in generalized Pareto distribution.

Returns

The transformed data as a numerical vector.

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, thrselect, Tm

Examples

data("danish", package = "evir")
tdata(danish)