hill {evir} | R Documentation |
Plot the Hill estimate of the tail index of heavy-tailed data, or of an associated quantile estimate.
hill(data, option = c("alpha","xi","quantile"), start = 15, end = NA, reverse = FALSE, p = NA, ci = 0.95, auto.scale = TRUE, labels = TRUE, ...)
data |
data vector |
option |
whether "alpha" , "xi" (1/alpha) or
"quantile" (a quantile estimate) should be plotted |
start |
lowest number of order statistics at which to plot a point |
end |
highest number of order statistics at which to plot a point |
reverse |
whether plot is to be by increasing threshold
(TRUE ) or increasing number of order statistics
(FALSE ) |
p |
probability required when option "quantile" is
chosen |
ci |
probability for asymptotic confidence band; for no
confidence band set ci to zero |
auto.scale |
whether or not plot should be automatically
scaled; if not, xlim and ylim graphical
parameters may be entered |
labels |
whether or not axes should be labelled |
... |
other graphics parameters |
This plot is usually calculated from the alpha perspective.
For a generalized Pareto analysis of heavy-tailed data using
the gpd
function, it helps to plot the Hill estimates
for xi.
## Not run: data(danish) ## Not run: hill(danish) # Hill plot of heavy-tailed Danish fire insurance data ## Not run: hill(danish, option = "quantile", end = 500, p = 0.999) # Hill plot of estimated 0.999 quantile of Danish fire insurance data