Functions : alphaestimator2 (implemented from the package fExtremes) alphaestimator
Further functions from the fExtremes package to model the index of regular variation.
shaparmPlot(-sample, plottype = "upper", doplot=T) hillPlot(sample, start = 15)
Examples of implemenation:
sample <- abs( arima.sim(n = 8000, list(ar=0.5, ma=0), rand.gen=function(n) rt(n,df=4) ) ) alphaestimator(sample, plot=TRUE , R0 = 50, hill=TRUE, k1 = 1000 ) alphaestimator(sample, plot=TRUE , R0 = 100, hill=FALSE, k1 = 1000 ) abline(h=0.25,col = "red")