Chapter 9. Extreme Value Theory (in MATLAB/Python)


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Listing 9.1/9.2: Hill estimator in MATLAB
Last updated 2011

ysort = sort(y);                            % sort the returns
CT = 100;                                   % set the threshold
iota = 1/mean(log(ysort(1:CT)/ysort(CT+1))) % get the tail index
		
Listing 9.1/9.2: Hill estimator in Python
Last updated June 2018

ysort = np.sort(y)                                # sort the returns
CT = 100                                          # set the threshold
iota = 1/(np.mean(np.log(ysort[0:CT]/ysort[CT]))) # get the tail index
print(iota)