Library: | finance |
See also: | hill hillgp1 hillgp1diag taills |
Quantlet: | taills | |
Description: | Estimates the tail index of fat-tailed distributions |
Usage: | a = taills(x,m) | |
Input: | ||
x | (n*p) matrix of data | |
m | scalar: number of exceedances | |
Output: | ||
a | p-vector giving for each column of x the Phillips Loretan least squares estimate of the tail index |
library("times") randomize(0) x=normal(1000,2) taills(x,10)
Contents of a [1,] 3.467 [2,] 6.4243