the Hill estimator in R

Question

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.

Answer 1

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?