How to make a Hill plot

• 成果类型: Article
• 署名作者: Dress, H; de Haan, L; Resnick, S
• 署名单位: University of Cologne; Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam; Cornell University
• 刊物名称: ANNALS OF STATISTICS
• ISSN/ISSBN: 0090-5364
• 发表日期: 2000
• 页码: 254-274
• 关键词: extreme-value estimation; tail index estimation; sample fraction; dependent data

摘要

An abundance of high quality data sets requiring heavy tailed models necessitates reliable methods of estimating the shape parameter governing the degree of tail heaviness. The Will estimator is a popular method for doing this but its practical use is encumbered by several difficulties. We show that an alternative method of plotting Hill estimator values is more revealing than the standard method unless the underlying data comes from a Pareto distribution.