Matlab extract paretotail parameters using lowerparams function
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I have estimated paretotails for 16 time series using the paretotails function in Matlab. I would now like to produce 2 matrices which contain the lower and upper tail parameters for the 16 time series (thus have the dimensions 16,2), which I have produced in the paretotails function. I have tried to implement this using a for loop. Unfortunately, only the parameters for the last time series (#16) are displayed in the pre-filled matrices for the parameters. The code I have provided below is runnable and produces my problem.
Extreme Value Theory
t = trnd(3,780,16);
nIndices = 16;
% 3.1 Tail Estimation
nPoints = 100; % # of sampled points in each region of the CDF
tailFraction = 0.05; % Decimal fraction of residuals allocated to each tail
tails = cell(nIndices,1);
tails_Lower_params = zeros(nIndices,2)
tails_Upper_params = zeros(nIndices,2)
for ind1 = 1:nIndices
tails{ind1} = paretotails(t(:,ind1), tailFraction, 1 - tailFraction, 'kernel');
tails_Lower_params(nIndices,:) = lowerparams(tails{ind1});
tails_Upper_params(nIndices,:) = upperparams(tails{ind1});
end
I would be very happy for any Hints on what I am missing here!
Best, Carolin
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