Dowd (version 0.12)

HillPlot: Hill Plot

Description

Displays a plot of the Hill Estimator against tail sample size.

Usage

HillPlot(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.

References

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

Examples

# Hill Estimator - Tail Sample Size Plot for random normal dataset
   Ra <- rnorm(1000)
   HillPlot(Ra, 180)