Alternative Hill Plot
Plots the Alternative Hill Plot and an averaged version of it against the upper order statistics.
althill(data, u = 2, kmin = 5, conf.int = FALSE)
data |
vector of sample data |
u |
gives the amount of which the Hill estimator is averaged. Default ist set to |
kmin |
gives the minimal |
conf.int |
|
The Alternative Hill Plot is just a normal Hill Plot scaled to the [0,1] interval which can make interpretation much easier. See references for more information.
The normal black line gives a simple Hill Plot scaled to [0,1]. The red dotted line is an averaged version that smoothes the Hill Plot by taking the mean of k(u-1) subsequent Hill estimations with respect to k. See references for more information.
Resnick, S. and Starica, C. (1997). Smoothing the Hill estimator. Advances in Applied Probability, 271–293.
data=rexp(500) althill(data)
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