Description Usage Arguments Value Author(s) References Examples
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.
1 | PickandsEstimator(Ra, tail.size)
|
Ra |
A data set |
tail.size |
Number of observations to be used to estimate the Pickands estimator |
Value of Pickands estimator
Dinesh Acharya
Dowd, K. Measuring Market Risk, Wiley, 2007.
1 2 3 | # Computes estimated Pickands estimator for randomly generated data.
Ra <- rnorm(1000)
PickandsEstimator(Ra, 40)
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