PickandsPlot: Pickand Estimator - Tail Sample Size Plot

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

Description

Displays a plot of the Pickands Estimator against Tail Sample Size.

Usage

PickandsPlot(Ra, maximum.tail.size)

Arguments

Ra	The data set
maximum.tail.size	maximum tail size and should be greater than a quarter of the sample size.

Author(s)

Dinesh Acharya

References

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

Examples

# Pickand - Sample Tail Size Plot for random standard normal data
   Ra <- rnorm(1000)
   PickandsPlot(Ra, 40)

Example output

Loading required package: bootstrap
Loading required package: MASS
Loading required package: forecast

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