semipartail

Semiparametric tail estimation for heavy-tailed data. This package implements the method proposed by Fithian and Wager (2015).

To install this package in R, run the following commands:

library(devtools) 
install_github("swager/semipartail")

Example usage:

library(semipartail)
X = exp(rgamma(n=1000, shape=4, scale=0.45))
Z = exp(rgamma(n=1000000, shape=3, scale=0.45))
semipar.mean(main.sample=X, background.sample=Z, threshold=quantile(X, 0.8))

References

William Fithian and Stefan Wager. Semiparametric Exponential Families for Heavy-Tailed Data. Biometrika, 102(2):486–493, 2015. [arxiv]