Threshold stability plot for Hill estimator — tstab.hill • mev

Threshold stability plot for Hill estimator

Usage

tstab.hill(xdat, kmax, method = "hill", ..., log = TRUE)

Arguments

xdat: [vector] sample exceedances
kmax: [int] maximum number of order statistics
method: [string] name of estimator for shape parameter. Default to hill.
...: additional arguments passed to fit.shape for certain methods.
log: [logical] should the x-axis for the number of order statistics used for estimation be displayed on the log scale? Default to TRUE

Value

a plot of shape estimates as a function of the number of exceedances

Examples

xdat <- rgp(n = 250, loc = 1, scale = 2, shape = 0.5)
tstab.hill(xdat)