PickandsPlot: Pickand Estimator - Tail Sample Size Plot

Description

Displays a plot of the Pickands Estimator against Tail Sample Size.

Usage

1
PickandsPlot(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

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# Pickand - Sample Tail Size Plot for random standard normal data
   Ra <- rnorm(1000)
   PickandsPlot(Ra, 40)

Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

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