alpha_hill: Hill's estimator of the tail index

In micss: Modified Iterative Cumulative Sum of Squares Algorithm

Hill's estimator of the tail index

Description

Computes the estimator of the tail index proposed by Hill (1975).

Usage

alpha_hill(x, k)

Arguments

x	A numeric vector.
k	Fraction of the upper tail to be used to estimate of the tail index.

Value

• alpha: Estimated tail index.

• sd.alpha: Standard error.

• s: Number of observations used in the estimation.

References

B. Hill (1975): A Simple General Approach to Inference About the Tail of a Distribution. The Annals of Mathematical Statistics 3, 1163-1174.

See Also

alpha_nr

Examples

alpha_hill(rnorm(500),k=0.1)

micss documentation built on Sept. 11, 2024, 6:46 p.m.