Locally implemented and modified methods for plotting the fit of the GPDFIT object (taken from package fExtremes), and the overall fit of the GPDTAILS object.
GPDFIT-class
(Package: spd) :
Class: Generalized Pareto Distribution
Locally implemented and slightly modified class for the generalized pareto distribution (gpd) fit, borrowed from package fExtremes. Created on modelling the tails of the data by spdfit
spd-package
(Package: spd) :
The Semi-Parametric Distribution (spd) package
The Semi-Parametric Distribution is a piecewise distribution constructed by parametrically modelling the tails of the distribution using an appropriate distribution (e.g. generalized pareto) and the interior by kernel methods. The package implements fit, distribution, density, quantile and random number generation. Currently, only the generalized pareto distribution is implemented for modelling the tails, but the package can easily be extended.