| gpdfit {loo} | R Documentation |
Estimate the parameters k and σ of the generalized Pareto distribution, given a sample x.
gpdfit(x)
x |
A numeric vector. The sample from which to estimate the parameters. |
Here the parameter k is the negative of k in Zhang & Stephens (2009).
A named list with components k and sigma.
This function is primarily intended for internal use, but is exported
so that users can call it directly if interested in PSIS for purposes other
than LOO-CV.
Zhang, J., and Stephens, M. A. (2009). A new and efficient estimation method for the generalized Pareto distribution. Technometrics 51, 316-325.
psislw, pareto-k-diagnostic,
loo-package