EVI.CFG.func {EXRQ} | R Documentation |
Hill Estimator of the Extreme Value Index
EVI.CFG.func(x, tol = 1e-04, min.prop = 0.3, taus)
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 |
The function estimates the extreme value index using Hill estimator based on the estimated intermediate quantiles.
The estimated extreme value index is returned. If the proportion of cases with quantile crossing is too high, an NA is returned.
Chernozhukov, C., Fernandez-Val, I., and Galichon, A. (2010). Quantile and probability curves without crossing. Econometrica, 78, 1093-1125.