Dowd (version 0.12)

PickandsPlot: Pickand Estimator - Tail Sample Size Plot

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.

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)