A common visual technique for assessing goodness of fit and estimating location and scale is the qq--plot. We apply this technique to data from a Pareto distribution and more generally to data generated by a distribution with a heavy tail. A procedure for assessing the presence of heavy tails and for estimating the parameter of regular variation is discussed which can supplement other standard techniques such as the Hill plot. Some examples are given using telecommunications data.
Publié le : 1996-07-05
Classification:
parameter estimation,
weak convergence,
consistency,
time series analysis,
qq-plot,
heavy tails,
regular variation,
[MATH.MATH-ST]Mathematics [math]/Statistics [math.ST],
[STAT.TH]Statistics [stat]/Statistics Theory [stat.TH]
@article{hal-00179391,
author = {Kratz, Marie and Resnick, Sid},
title = {The Q-Q estimator and heavy tails.},
journal = {HAL},
volume = {1996},
number = {0},
year = {1996},
language = {en},
url = {http://dml.mathdoc.fr/item/hal-00179391}
}
Kratz, Marie; Resnick, Sid. The Q-Q estimator and heavy tails.. HAL, Tome 1996 (1996) no. 0, . http://gdmltest.u-ga.fr/item/hal-00179391/