hill {extremefit} | R Documentation |
Compute the weighted Hill estimator.
hill(X, weights = rep(1, length(X)), grid = X)
X |
a vector of data. |
weights |
a vector of weights assiociated to x. |
grid |
a vector of values for which the Hill estimator is computed. |
Compute the weighted Hill estimator for vectors grid, data and weights (see references below).
xsort |
the sorted data. |
wsort |
the weights assiociated to xsort. |
grid |
the grid for which the Hill estimator is computed. |
hill |
the Hill estimators. |
Ion Grama
Grama, I. and Spokoiny, V. (2008). Statistics of extremes by oracle estimation. Ann. of Statist., 36, 1619-1648.
Durrieu, G. and Grama, I. and Pham, Q. and Tricot, J.- M (2015). Nonparametric adaptive estimator of extreme conditional tail probabilities quantiles. Extremes, 18, 437-478.
Hill, B.M. (1975). A simple general approach to inference about the tail of a distribution. Annals of Statistics, 3, 1163-1174.
X <- abs(rcauchy(100)) weights <- rep(1, length(X)) wh <- hill(X, w = weights)