PickandsEstimator function

Pickands Estimator

Estimates the Value of Pickands Estimator for a specified data set and chosen tail size. Notes: (1) We estimate the Pickands Estimator by looking at the upper tail. (2) The tail size must be less than one quarter of the total sample size. (3) The tail size must be a scalar.

PickandsEstimator(Ra, tail.size)

Arguments

• Ra: A data set
• tail.size: Number of observations to be used to estimate the Pickands estimator

Returns

Value of Pickands estimator

Examples

# Computes estimated Pickands estimator for randomly generated data.
   Ra <- rnorm(1000)
   PickandsEstimator(Ra, 40)

Author(s)

Dinesh Acharya

References

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