Description Usage Arguments Author(s) References Examples
Displays a plot of the Pickands Estimator against Tail Sample Size.
1 | PickandsPlot(Ra, maximum.tail.size)
|
Ra |
The data set |
maximum.tail.size |
maximum tail size and should be greater than a quarter of the sample size. |
Dinesh Acharya
Dowd, K. Measuring Market Risk, Wiley, 2007.
1 2 3 | # Pickand - Sample Tail Size Plot for random standard normal data
Ra <- rnorm(1000)
PickandsPlot(Ra, 40)
|
Loading required package: bootstrap
Loading required package: MASS
Loading required package: forecast
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