Threshold for fitting generalized pareto model

Question

I need the R code for setting a threshold while fitting a generalized Pareto distribution.

What have you tried? Also see https://stackoverflow.com/help/how-to-ask and https://stackoverflow.com/questions/5963269/how-to-make-a-great-r-reproducible-example — mikeck, Apr 27 '20 at 01:17

score 1 · Answer 1 · edited Sep 07 '22 at 14:03

I've just made a R package which exactly serves this purpose, namely gfiExtremes (now also on CRAN).

remotes::install_github("stla/gfiExtremes", build_vignettes = TRUE)

It allows to perform inference on the quantiles for a generalized Pareto distribution model and on the parameters of the Pareto exceedance distribution, with or without assuming the exceedance threshold is known.

Usage

The data must be given as a numeric vector, say x.

library(gfiExtremes)
gf <- gfigpd2(x, beta = c(0.99, 0.995, 0.999))
summary(gf) # provides estimates and confidence intervals of the beta-quantiles
thresholdEstimate(gf) # an estimate of the threshold

See the examples in the package documentation and the vignette for more info.

Threshold for fitting generalized pareto model

1 Answers1

Usage