Advanced Search

Query:

Fill in the form and click »Search«...

Format:

Display: entries per page entries

Zbl 1106.62333
Drees, Holger; de Haan, Laurens; Resnick, Sidney
How to make a Hill plot. (English)
[J] Ann. Stat. 28, No. 1, 254-274 (2000). ISSN 0090-5364

Summary: 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.

MSC 2000:: *62G32 Statistics of extreme values; tail inference
62G05 Nonparametric estimation
62G30 Order statistics, etc.

Keywords: Estimation; extreme value index; heavy tails; Hill estimator; order statistics; Pareto tails; regular variation

Comment on this Item PDF MathML XML ASCII DVI PS BibTeX Online Ordering Article Article Journal Journal

	Scientific prize winners of the ICM 2010
	Overhang
	Lie groups, physics and geometry. An introduction for physicists, engineers and chemists.

Advanced Search

Zentralblatt MATH Berlin [Germany]