EVI.CFG.func: Hill Estimator of the Extreme Value Index

In EXRQ: Extreme Regression of Quantiles

Description

Hill Estimator of the Extreme Value Index

Usage

EVI.CFG.func(x, tol = 1e-04, min.prop = 0.3, taus)

Arguments

x	the estimated quantiles at intermediate quantile levels
tol	the tolerance level used for checking quantile crossing
min.prop	the minimum proportion of quantiles that are estimated higher than the adjacent lower quantiles
taus	the corresponding quantile levels

Details

The function estimates the extreme value index using Hill estimator based on the estimated intermediate quantiles.

Value

The estimated extreme value index is returned. If the proportion of cases with quantile crossing is too high, an NA is returned.

References

Chernozhukov, C., Fernandez-Val, I., and Galichon, A. (2010). Quantile and probability curves without crossing. Econometrica, 78, 1093-1125.

EXRQ documentation built on May 1, 2019, 7:26 p.m.