#rbm Tail index estimation with random block maxima. This package implements the random block maxima method proposed by Wager (2014).

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

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

Example usage:

library(rbm)
rbm.point_estimate(abs(rt(2000, df = 3)))

####References Stefan Wager. Subsampling Extremes: From Block Maxima to Smooth Tail Estimation. Journal of Multivariate Analysis, 130, 2014. [arxiv]