PickandsEstimator: Pickands Estimator
In Dowd: Functions Ported from 'MMR2' Toolbox Offered in Kevin Dowd's Book Measuring Market Risk
Description
Usage
Arguments
Value
Author(s)
References
Examples
Description
Estimates the Value of Pickands Estimator for a specified data set
and chosen tail size. Notes: (1) We estimate the Pickands Estimator by
looking at the upper tail. (2) The tail size must be less than one quarter
of the total sample size. (3) The tail size must be a scalar.
Usage
1
PickandsEstimator(Ra, tail.size)
Arguments
Ra
A data set
tail.size
Number of observations to be used to estimate the Pickands
estimator
Value
Value of Pickands estimator
Author(s)
Dinesh Acharya
References
Dowd, K. Measuring Market Risk, Wiley, 2007.
Examples
1
2
3
# Computes estimated Pickands estimator for randomly generated data.
Ra <- rnorm(1000)
PickandsEstimator(Ra, 40)
Dowd documentation built on May 2, 2019, 6:15 p.m.
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Description Usage Arguments Value Author(s) References Examples
Description
Estimates the Value of Pickands Estimator for a specified data set and chosen tail size. Notes: (1) We estimate the Pickands Estimator by looking at the upper tail. (2) The tail size must be less than one quarter of the total sample size. (3) The tail size must be a scalar.
Usage
1 | PickandsEstimator(Ra, tail.size)
|
Arguments
Ra |
A data set |
tail.size |
Number of observations to be used to estimate the Pickands estimator |
Value
Value of Pickands estimator
Author(s)
Dinesh Acharya
References
Dowd, K. Measuring Market Risk, Wiley, 2007.
Examples
1 2 3 | # Computes estimated Pickands estimator for randomly generated data.
Ra <- rnorm(1000)
PickandsEstimator(Ra, 40)
|
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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