PickandsPlot function

Pickand Estimator - Tail Sample Size Plot

Displays a plot of the Pickands Estimator against Tail Sample Size.

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.

Examples

# Pickand - Sample Tail Size Plot for random standard normal data
   Ra <- rnorm(1000)
   PickandsPlot(Ra, 40)

Author(s)

Dinesh Acharya

References

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