tstab.lthill: Threshold stability plots for left-truncated Hill estimators
Description
Given a vector of exceedances and some potential choices of \(k\) for the threshold, compute the left-truncated Hill estimators for each value of k and use these to compute the variance and slope of the estimator
an invisible list with lthill, order statistics, the log variance and the log scale.
Arguments
xdat
[numeric] vector of positive observations
k
[integer] number of order statistics for the threshold
which
[string] the type of plot, showing the left-truncated Hill plot on the log, the log of the variance of the estimator, or the log slope
log
[logical] if TRUE (default), shows the Hill plot on the log-scale
...
additional parameters for color, etc. to be passed to plot
References
Bladt, M., Albrecher, H. & Beirlant, J. (2020) Threshold selection and trimming in extremes. Extremes, 23, 629-665 . tools:::Rd_expr_doi("10.1007/s10687-020-00385-0")