HillQuantileEstimator: Hill Quantile Estimator
In Dowd: Functions Ported from 'MMR2' Toolbox Offered in Kevin Dowd's Book Measuring Market Risk

Estimates value of Hill Quantile Estimator for a specified data set, tail index, in-sample probability and confidence level.

1	HillQuantileEstimator(Ra, tail.index, in.sample.prob, cl)

`Ra`	A data set
`tail.index`	Assumed tail index
`in.sample.prob`	In-sample probability (used as basis for projection)
`cl`	Confidence level

Value of Hill Quantile Estimator

Dinesh Acharya

Dowd, K. Measuring Market Risk, Wiley, 2007.

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# Computes estimates value of hill estimator for a specified data set
   Ra <- rnorm(1000)
   HillQuantileEstimator(Ra, 40, .5, .9)

Dowd documentation built on May 2, 2019, 6:15 p.m.

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