alphaestimator2

This function computes the (tail)-index. It returns the mean estimate from the Pickands, Hill and DeHaan estimators at 96th empirical quantile. It uses the fExtreme code.

Usage

alphaestimator2(path0)

Arguments

path0

(Vector of univariate observations)

Value

An integer with the tail - index estimate

Examples

sample   <- abs( arima.sim(n = 8000, list(ar=0.5, ma=0), rand.gen=function(n) rt(n,df=4) ) )
h  <- alphaestimator2(sample)