GParetoMultipleMEFPlot {Dowd} | R Documentation |
Plot of Emperical and 2 Generalised Pareto mean excess functions
Description
Plots of emperical mean excess function and two generalized pareto mean excess functions which differ in their tail-index value.
Usage
GParetoMultipleMEFPlot(Ra, mu, beta, zeta1, zeta2)
Arguments
Ra |
Vector of daily Profit/Loss data |
mu |
Location parameter |
beta |
Scale parameter |
zeta1 |
Assumed tail index for first mean excess function |
zeta2 |
Assumed tail index for second mean excess function |
Author(s)
Dinesh Acharya
References
Dowd, K. Measuring Market Risk, Wiley, 2007.
Examples
# Computes ES assuming generalised Pareto for following parameters
Ra <- 5 * rnorm(100)
mu <- 1
beta <- 1.2
zeta1 <- 1.6
zeta2 <- 2.2
GParetoMultipleMEFPlot(Ra, mu, beta, zeta1, zeta2)
[Package Dowd version 0.12 Index]