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Please I need the R code for setting a threshold while fitting a generalized pareto distribution. I don't seem to be getting it right.

Stéphane Laurent
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Temitope Comfort
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  • 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

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I've just made a R package which exactly serves this purpose, namely gfiExtremes (soon 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.

Stéphane Laurent
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