Description Usage Arguments Value Examples
Estimation of the positive extreme value index (EVI) based on multiple local Hill estimators. We assume heavy-tail homogeneity, i.e., all local EVI's are the same.
1 |
x |
Vector or matrix of observations |
k |
Number of relative excesses involved in the estimation of the extreme value
index gamma. If
|
k.qu |
Tuning parameter for estimation of empirical variance; only needed if |
type |
Choose either |
alpha |
Confidence level for confidence interval. |
ci |
Either |
List of
est
a weighted average of local Hill estimates.
Sigma
an estimate of the corresponding variance matrix.
CI
a confidence interval.
1 2 3 4 5 6 7 8 |
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