| 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 | |
library("times")
randomize(0)
x=normal(1000,2)
taills(x,10)
Contents of a [1,] 3.467 [2,] 6.4243
| Library: | finance |
| See also: | hill |