Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Library: finance
See also: hill hillgp1 hillgp1diag taills

Quantlet: taills
Description: Estimates the tail index of fat-tailed distributions

Reference(s):

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

Example:
library("times")
randomize(0)
x=normal(1000,2)
taills(x,10)

Result:
Contents of a
[1,]   3.467
[2,]   6.4243



Author: C. Hafner, W. Haerdle, 19981110 license MD*Tech
(C) MD*TECH Method and Data Technologies, 05.02.2006