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xchat
2007 May 02
0
KS test pvalue estimation using mctest (library truncgof)
...on
a left truncated sample.
>From an empirical sample I've estimated a generalized pareto
distribution parameters (xi, beta, threshold) (I've used fExtremes pkg).
I'm in doubt on what of the following command is the most appropriate:
Let:
x<-sample
t<-threshold
xt<-x[x>t]
xihat<-gpdFit(x, threshold=t, type = "pwm")$par.ests[1]
betahat<-gpdFit(x, threshold=t, type = "pwm")$par.ests[2]
(1)
ks.test(xt,"pgpd",list(xi=xihat,beta=betahat),H=t,estfun =
"as.list(gpdFit(x, 0)$par.ests)", tol = 1e-02)
(2)
ks.test(xt,"pgpd",lis...