How to make a Hill Plot

An abundance of high quality data sets requiring heavy tailed models necessitates reliablemethods 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 isencumbered by several difficulties. We show that an alternative method of plotting Hillestimator values is more revealing than the standard method unless the underlyingdata comes from a Pareto distribution.

MoreLess

Year of publication:	1998
Authors:	Drees, Holger ; de Haan, Laurens F.M. ; Resnick, Sidney
Publisher:	Amsterdam and Rotterdam : Tinbergen Institute
Subject:	Schätztheorie \| Wahrscheinlichkeitsrechnung \| Theorie

More details

Series:	Tinbergen Institute Discussion Paper ; 98-090/4
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	83226900X [GVK] hdl:10419/85573 [Handle] RePEc:dgr:uvatin:19980090 [RePEc]
Source:	EconStor

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010324548