Dowd (version 0.12)

HillEstimator: Hill Estimator

Description

Estimates the value of the Hill Estimator for a given specified data set and chosen tail size. Notes: 1) We estimate Hill Estimator by looking at the upper tail. 2) If the specified tail size is such that any included observations are negative, the tail is truncated at the point before observations become negative. 3) The tail size must be a scalar.

Usage

HillEstimator(Ra, tail.size)

Arguments

Ra

Data set

tail.size

Number of observations to be used to estimate the Hill estimator.

Value

Estimated value of Hill Estimator

References

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

Examples

# Estimates Hill Estimator of
   Ra <- rnorm(15)
   HillEstimator(Ra, 10)