| Library: | finance |
| See also: | dpgp dpgpdiag dpgpgamma empme hillgp1 hillgp1diag taills |
| Quantlet: | hill | |
| Description: | Estimates the tail index of fat-tailed distributions |
| Usage: | a = hill(x,m) | |
| Input: | ||
| x | (n*p) data matrix | |
| m | scalar: number of exceedances | |
| Output: | ||
| a | p-vector giving for each column of x the inverse of the Hill estimate, i.e., the tail index | |
library("finance")
randomize(0)
x=normal(1000,2)
hill(x,10)
Contents of a [1,] 5.9057 [2,] 5.9285