EXRQ (version 1.0)

EVI.CFG.func: Hill Estimator of the Extreme Value Index

Description

Hill Estimator of the Extreme Value Index

Usage

EVI.CFG.func(x, tol = 1e-04, min.prop = 0.3, taus)

Arguments

x

the estimated quantiles at intermediate quantile levels

tol

the tolerance level used for checking quantile crossing

min.prop

the minimum proportion of quantiles that are estimated higher than the adjacent lower quantiles

taus

the corresponding quantile levels

Value

The estimated extreme value index is returned. If the proportion of cases with quantile crossing is too high, an NA is returned.

Details

The function estimates the extreme value index using Hill estimator based on the estimated intermediate quantiles.

References

Chernozhukov, C., Fernandez-Val, I., and Galichon, A. (2010). Quantile and probability curves without crossing. Econometrica, 78, 1093-1125.