alpha_nr {micss} | R Documentation |
alpha_nr
Description
Computes the estimator of the tail index proposed by Nicolau & Rodrigues (2019).
Usage
alpha_nr(y, k)
Arguments
y |
A numeric vector. |
k |
Fraction of the upper tail to be used to estimate of the tail index. |
Value
-
alpha
: Estimated tail index. -
sd.alpha
: Standard error.
References
J. Nicolau and P.M.M. Rodrigues (2019): A new regression-based tail index estimator. The Review of Economics and Statistics 101, 667-680.
See Also
Examples
alpha_nr(rnorm(500),k=0.1)
[Package micss version 0.1.5 Index]