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 Hill 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.
Publié le : 2000-02-14
Classification:
Estimation,
extreme value index,
heavy tails,
Hill estimator,
order statistics,
Pareto tails,
regular variation,
60G75,
62G05,
62G20
@article{1016120372,
author = {Drees, Holger and de Haan, Laurens and Resnick, Sidney},
title = {How to make a Hill plot},
journal = {Ann. Statist.},
volume = {28},
number = {3},
year = {2000},
pages = { 254-274},
language = {en},
url = {http://dml.mathdoc.fr/item/1016120372}
}
Drees, Holger; de Haan, Laurens; Resnick, Sidney. How to make a Hill plot. Ann. Statist., Tome 28 (2000) no. 3, pp. 254-274. http://gdmltest.u-ga.fr/item/1016120372/