Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Library: finance
See also: taills

Quantlet: hill
Description: Estimates the tail index of fat-tailed distributions

Reference(s):

Usage: a = hill(x,m)
Input:
x (n*p) matrix
m scalar
Output:
a p-vector giving for each column of x the inverse of the Hill estimate, i.e., the tail index

Example:

library("finance")

randomize(0)

x=normal(1000,2)

hill(x,10)

Result:

Contents of a

[1,]   5.9057 

[2,]   5.9285 


Library: finance
See also: taills

Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Author: Christian Hafner, 981110
(C) MD*TECH Method and Data Technologies, 21.9.2000