hillest {condmixt} R Documentation

## Hill Estimator

### Description

Hill estimator of the tail index. This estimator assumes the tail index to be positive. The threshold used is the k+1 order statistic.

### Usage

hillest(data, k)


### Arguments

 data vector of sample from a distribution for which the tail index is to be estimated k define the number of order statistics used for the estimation

### Value

Hill estimator of the tail index parameter.

Julie Carreau

### References

Embrechts, P., Kluppelberg, C. and Mikosch, T. (1997), Modelling Extremal Events, Applications of Mathematics, Stochastic Modelling and Applied Probability, Springer

gpd.mme, hpareto.mme
r<-rhpareto(5000,0.2,-50,1,trunc=TRUE)  # tail index is equal to 0.2