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: hill

Macro: taills
Description: Estimates the tail index of fat-tailed distributions

Usage: a = taills(x,m)
Input:
x (n*p) matrix
m scalar
Output:
a p-vector giving for each column of x the Phillips Loretan least squares estimate of the tail index

Note:

Example:
library("times")
randomize(0)
x=normal(1000,2)
taills(x,10)
Result:

[1,]   3.467 
[2,]   6.4243  

Library: finance
See also: hill

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, 28.6.1999