HillQuantileEstimator {Dowd}

Hill Quantile Estimator

Description

Estimates value of Hill Quantile Estimator for a specified data set, tail index, in-sample probability and confidence level.

Usage

HillQuantileEstimator(Ra, tail.index, in.sample.prob, cl)

Arguments

Ra

A data set

tail.index

Assumed tail index

in.sample.prob

In-sample probability (used as basis for projection)

cl

Confidence level

Value

Value of Hill Quantile Estimator

Author(s)

Dinesh Acharya

References

Dowd, K. Measuring Market Risk, Wiley, 2007.

Next reference

Examples

# Computes estimates value of hill estimator for a specified data set
   Ra <- rnorm(1000)
   HillQuantileEstimator(Ra, 40, .5, .9)