Hill {ReIns} | R Documentation |
Hill estimator
Description
Computes the Hill estimator for positive extreme value indices (Hill, 1975) as a function of the tail parameter .
Optionally, these estimates are plotted as a function of
.
Usage
Hill(data, k = TRUE, logk = FALSE, plot = FALSE, add = FALSE,
main = "Hill estimates of the EVI", ...)
Arguments
data |
Vector of |
k |
Logical indicating if the Hill estimates are plotted as a function of the tail parameter |
logk |
Logical indicating if the Hill estimates are plotted as a function of |
plot |
Logical indicating if the estimates should be plotted as a function of |
add |
Logical indicating if the estimates should be added to an existing plot, default is |
main |
Title for the plot, default is |
... |
Additional arguments for the |
Details
The Hill estimator can be seen as the estimator of slope in the upper right corner ( last points) of the Pareto QQ-plot when using constrained least squares (the regression line has to pass through the point
). It is given by
See Section 4.2.1 of Albrecher et al. (2017) for more details.
Value
A list with following components:
k |
Vector of the values of the tail parameter |
gamma |
Vector of the corresponding Hill estimates. |
Author(s)
Tom Reynkens based on S-Plus
code from Yuri Goegebeur.
References
Albrecher, H., Beirlant, J. and Teugels, J. (2017). Reinsurance: Actuarial and Statistical Aspects, Wiley, Chichester.
Beirlant J., Goegebeur Y., Segers, J. and Teugels, J. (2004). Statistics of Extremes: Theory and Applications, Wiley Series in Probability, Wiley, Chichester.
Hill, B. M. (1975). "A simple general approach to inference about the tail of a distribution." Annals of Statistics, 3, 1163–1173.
See Also
Examples
data(norwegianfire)
# Plot Hill estimates as a function of k
Hill(norwegianfire$size[norwegianfire$year==76],plot=TRUE)