Package: smoothtail
Type: Package
Title: Smooth Estimation of GPD Shape Parameter
Version: 1.1.4
Date: 2009-10-15
Author: Kaspar Rufibach <kaspar.rufibach@ifspm.uzh.ch> and Samuel
        Mueller <s.mueller@maths.usyd.edu.au>
Maintainer: Kaspar Rufibach <kaspar.rufibach@ifspm.uzh.ch>
Depends: logcondens
Description: Given independent and identically distributed observations
        X(1), ..., X(n) from a Generalized Pareto distribution with
        shape parameter gamma in [-1,0], this package offers several
        estimates to compute estimates of gamma. The estimates are
        based on the principle of replacing the order statistics by
        quantiles of a distribution function based on a log--concave
        density function. This procedure is justified by the fact that
        the GPD density is log--concave for gamma in [-1,0].
License: GPL (>= 2)
URL: http://www.biostat.uzh.ch/aboutus/people/rufibach.html,
        http://www.maths.usyd.edu.au/ut/people?who=S_Mueller
Packaged: 2009-10-15 10:36:30 UTC; rufibach
Repository: CRAN
Date/Publication: 2009-10-15 11:16:26
