alpha_nr: Nicolau & Rodrigues estimator of the tail index

In micss: Modified Iterative Cumulative Sum of Squares Algorithm

Nicolau & Rodrigues estimator of the tail index

Description

Computes the estimator of the tail index proposed by Nicolau & Rodrigues (2019).

Usage

alpha_nr(y, k)

Arguments

y	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.

References

J. Nicolau and P.M.M. Rodrigues (2019): A new regression-based tail index estimator. The Review of Economics and Statistics 101, 667-680.

See Also

alpha_hill

Examples

alpha_nr(rnorm(500),k=0.1)

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