Description Usage Arguments Details Value References Examples
An Implementation of the so called Eye-balling Technique proposed in Danielsson et al. (2016)
1 |
data |
vector of sample data |
ws |
size of the moving window. |
epsilon |
size of the range in which the estimates can vary |
h |
percentage of data inside the moving window that should lie in the tolerable range |
The procedure searches for a stable region in the Hill-Plot by defining a moving window. Inside this window the estimates of the Hill estimator with respect to k
have to be in a pre-defined range around the first estimate within this window. It is sufficient to claim that only h
percent of the estimates within this window lie in this range. The smallest k
that accomplishes this is then the optimal number of upper order statistics, i.e. data in the tail.
k0 |
optimal number of upper order statistics, i.e. number of exceedances or data in the tail |
threshold |
the corresponding threshold |
tail.index |
the corresponding tail index by plugging in |
Danielsson, J. and Ergun, L.M. and de Haan, L. and de Vries, C.G. (2016). Tail Index Estimation: Quantile Driven Threshold Selection.
1 2 |
Loading required package: eva
$k0
[1] 21
$threshold
[1] 27.26259
$tail.index
[1] 1.723221
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