Estimates the Value of Pickands Estimator for a specified data set and chosen tail size. Notes: (1) We estimate the Pickands Estimator by looking at the upper tail. (2) The tail size must be less than one quarter of the total sample size. (3) The tail size must be a scalar.
A data set
Number of observations to be used to estimate the Pickands estimator
Value of Pickands estimator
Dowd, K. Measuring Market Risk, Wiley, 2007.
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