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)));