evir (version 1.7-4)

hill: Create Hill Plot

Description

Plot the Hill estimate of the tail index of heavy-tailed data, or of an associated quantile estimate.

Usage

hill(data, option = c("alpha","xi","quantile"), start = 15,
    end = NA, reverse = FALSE, p = NA, ci = 0.95,
    auto.scale = TRUE, labels = TRUE, …)

Arguments

data

data vector

option

whether "alpha", "xi" (1/alpha) or "quantile" (a quantile estimate) should be plotted

start

lowest number of order statistics at which to plot a point

end

highest number of order statistics at which to plot a point

reverse

whether plot is to be by increasing threshold (TRUE) or increasing number of order statistics (FALSE)

p

probability required when option "quantile" is chosen

ci

probability for asymptotic confidence band; for no confidence band set ci to zero

auto.scale

whether or not plot should be automatically scaled; if not, xlim and ylim graphical parameters may be entered

labels

whether or not axes should be labelled

…

other graphics parameters

Details

This plot is usually calculated from the alpha perspective. For a generalized Pareto analysis of heavy-tailed data using the gpd function, it helps to plot the Hill estimates for xi.

See Also

shape, quant

Examples

# NOT RUN {
data(danish)
# }
# NOT RUN {
hill(danish)
# }
# NOT RUN {
# Hill plot of heavy-tailed Danish fire insurance data 
# }
# NOT RUN {
hill(danish, option = "quantile", end = 500, p = 0.999)
# }
# NOT RUN {
# Hill plot of estimated 0.999 quantile of Danish fire insurance data 
# }