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rtime-seriestailestimation

the Hill estimator in R


I am trying to find a package that has a working version of the Hill estimator for extreme value theory in R. Does anyone know what package exists to do this? A couple of searches produced several packages but their level of development (ie are they still full of bugs) is unclear.


Solution

  • A note about searching methods: I find the sos package's findFn features very handy. Try this:

    install.packages("sos")
    load("sos")
    findFn("Hill extreme")
    

    Looking at the first couple of packages DESCRIPTION files from their Index pages:

    Package: fExtremes
    Version: 2160.78
    Revision: 5405
    Date: 2012-11-30
    Title: Rmetrics - Extreme Financial Market Data
    Author: Diethelm Wuertz and many others, see the SOURCE file
    
    Package: evir
    Version: 1.7-3
    Date: 2011-07-22
    Title: Extreme Values in R
    Authors@R: c(person("Bernhard", "Pfaff", email = "bernhard@pfaffikus.de", role = c("aut", "cre")),
               person("Alexander", "McNeil", email = "mcneil@math.ethz.ch", role = "aut", comment = "S
               original (EVIS)"), person("Alec", "Stephenson", email = "alec_stephenson@hotmail.com",
               role = "trl", comment = "R port of EVIS"))
    

    Those are credible names in the author lists. Are you having difficulties with either of those packages?