Description Usage Arguments Value Examples
Estimation of heavy tails with Hill's estimator
1 | hill(x, k)
|
x |
Vector or matrix of observations |
k |
Number of relative excesses involved in the estimation of the extreme value
index gamma. If
|
Hill's estimator for each sample.
1 2 3 4 5 6 7 8 9 10 | library("evd")
x1 <- rgev(100, loc = 2, scale = 1, shape=0.4)
hill(x1, k=20)
x2 <- rgev(100, loc = 2, scale = 1, shape=0.5)
hill(cbind(x1, x2), k = c(20, 25))
x2[c(4,8,39)] <- NA
hill(cbind(x1, x2), k=c(20, 25))
# if leaving out k, it will be set to floor(2*n^(2/3)/d^(1/3)) = c(34,33):
hill(cbind(x1, x2)) # is the same as:
hill(cbind(x1, x2), k=c(34,33))
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