Comparing convergence of hill and pickands estimators in R

Asked Sep 03 '20 at 12:05

Active Sep 03 '20 at 12:05

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i am working on extreme value theory, i used commands hillplot and pickandsplot of the package evmix to plot the hill and pickands estimators and get the threshold u and the number of excess k.

library(evmix)
hillplot(claims$cost)
pickandsplot(claims$cost)

Now i want to plot the graph of the error of estimation with respect to k/n where n is the length of the vector claims$cost (k/n tends to 0 when n is too large). Can someone help me solve this task please ?

asked Sep 03 '20 at 12:05

wej

The code as posted gives `Error in quantile(data[data > 0], 0.9, na.rm = TRUE) : object 'claims' not found`. – Rui Barradas Sep 03 '20 at 12:14
this is because i didn't give you the dataframe – wej Sep 03 '20 at 13:23

Comparing convergence of hill and pickands estimators in R

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