hill: Create Hill Plot

In evir: Extreme Values in R

Description

Plot the Hill estimate of the tail index of heavy-tailed data, or of an associated quantile estimate.

Usage

hill(data, option = c("alpha","xi","quantile"), start = 15,
    end = NA, reverse = FALSE, p = NA, ci = 0.95,
    auto.scale = TRUE, labels = TRUE, ...)

Arguments

data	data vector
option	whether "alpha", "xi" (1/alpha) or "quantile" (a quantile estimate) should be plotted
start	lowest number of order statistics at which to plot a point
end	highest number of order statistics at which to plot a point
reverse	whether plot is to be by increasing threshold (TRUE) or increasing number of order statistics (FALSE)
p	probability required when option "quantile" is chosen
ci	probability for asymptotic confidence band; for no confidence band set ci to zero
auto.scale	whether or not plot should be automatically scaled; if not, xlim and ylim graphical parameters may be entered
labels	whether or not axes should be labelled
...	other graphics parameters

Details

This plot is usually calculated from the alpha perspective. For a generalized Pareto analysis of heavy-tailed data using the gpd function, it helps to plot the Hill estimates for xi.

See Also

shape, quant

Examples

## Not run: data(danish)
## Not run: hill(danish) 
# Hill plot of heavy-tailed Danish fire insurance data 
## Not run: hill(danish, option = "quantile", end = 500, p = 0.999) 
# Hill plot of estimated 0.999 quantile of Danish fire insurance data 

Example output

evir documentation built on May 2, 2019, 12:21 p.m.