function gamma = hill(x,kvec,sign) % function: a = hill(x,k,sign) % x = series % k = vector of tail points to estimate hills at % sign = +1 right, -1, left % returns vector gamma(j) = shape parameter (gamma) at kvec(j) % if (sign == 0) xs = sort(abs(x)); else xs = sort(sign*x); end n = length(xs); % xs = abs(xs); % y = (1/k)* sum( log(xs(n-k+1:n))); % a = 1/(y-log(xs(n-k+1))); j = 1; for k = kvec gamma(j) = (1/k) * sum ( log(xs(n-k+1:n))) - log(xs(n-k)); j=j+1; end