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