HillPlot: Hill Plot

In Dowd: Functions Ported from 'MMR2' Toolbox Offered in Kevin Dowd's Book Measuring Market Risk

Description

Displays a plot of the Hill Estimator against tail sample size.

Usage

HillPlot(Ra, maximum.tail.size)

Arguments

Ra	The data set
maximum.tail.size	maximum tail size and should be greater than a quarter of the sample size.

Author(s)

Dinesh Acharya

References

Dowd, K. Measuring Market Risk, Wiley, 2007.

Examples

# Hill Estimator - Tail Sample Size Plot for random normal dataset
   Ra <- rnorm(1000)
   HillPlot(Ra, 180)

Example output

Loading required package: bootstrap
Loading required package: MASS
Loading required package: forecast

Dowd documentation built on May 2, 2019, 10:16 a.m.