avhill: Averaged Hill Plot

In tea: Threshold Estimation Approaches

Description

Plots an averaged version of the classical Hill Plot

Usage

avhill(data, u = 2, kmin = 5, conf.int = FALSE)

Arguments

data	vector of sample data
u	gives the amount of which the Hill estimator is averaged. Default ist set to u=2.
kmin	gives the minimal k for which the graph is plotted. Default ist set to kmin=5.
conf.int	logical. If FALSE (default) no confidence intervals are plotted

Details

The Averaged Hill Plot is a smoothed version of the classical Hill Plot by taking the mean of values of the Hill estimator for subsequent k, i.e. upper order statistics. For more information see references.

Value

The normal black line gives the classical Hill Plot. The red dotted line is an averaged version that smoothes the Hill Plot by taking the mean of k(u-1) subsequent Hill estimations with respect to k. See references for more information.

References

Resnick, S. and Starica, C. (1997). Smoothing the Hill estimator. Advances in Applied Probability, 271–293.

Examples

data(danish)
avhill(danish) 

Example output

tea documentation built on April 19, 2020, 3:57 p.m.