HillPlot function

Hill Plot

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

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.

Examples

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

Author(s)

Dinesh Acharya

References

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