Description Usage Arguments Value Author(s) References Examples
Estimates the value of the Hill Estimator for a given specified data set and chosen tail size. Notes: 1) We estimate Hill Estimator by looking at the upper tail. 2) If the specified tail size is such that any included observations are negative, the tail is truncated at the point before observations become negative. 3) The tail size must be a scalar.
1 | HillEstimator(Ra, tail.size)
|
Ra |
Data set |
tail.size |
Number of observations to be used to estimate the Hill estimator. |
Estimated value of Hill Estimator
Dinesh Acharya
Dowd, K. Measuring Market Risk, Wiley, 2007.
1 2 3 | # Estimates Hill Estimator of
Ra <- rnorm(15)
HillEstimator(Ra, 10)
|
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.