HillEstimator function

Hill Estimator

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.

HillEstimator(Ra, tail.size)

Arguments

• Ra: Data set
• tail.size: Number of observations to be used to estimate the Hill estimator.

Returns

Estimated value of Hill Estimator

Examples

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

Author(s)

Dinesh Acharya

References

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