PickandsEstimator {Dowd}

Pickands Estimator

Description

Estimates the Value of Pickands Estimator for a specified data set and chosen tail size. Notes: (1) We estimate the Pickands Estimator by looking at the upper tail. (2) The tail size must be less than one quarter of the total sample size. (3) The tail size must be a scalar.

Usage

PickandsEstimator(Ra, tail.size)

Arguments

Ra

A data set

tail.size

Number of observations to be used to estimate the Pickands estimator

Value

Value of Pickands estimator

Author(s)

Dinesh Acharya

References

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

Examples

# Computes estimated Pickands estimator for randomly generated data.
   Ra <- rnorm(1000)
   PickandsEstimator(Ra, 40)