Chapter 9. Extreme Value Theory


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Listing 9.1: Hill estimator in R
Last edited: 2011

ysort = sort(y)   
CT = 100           
iota = 1/mean(log(ysort[1:CT]/ysort[CT+1])) 
		
Listing 9.2: Hill estimator in Matlab
Last edited: 2011

ysort = sort(y);     
CT = 100;             
iota = 1/mean(log(ysort(1:CT)/ysort(CT+1)));