How to make a Hill plot 论文
2000The Annals of Statistics引用 240
Statistical Methods and InferenceFinancial Risk and Volatility ModelingBayesian Methods and Mixture Models
详细信息
- 发表期刊/会议
- The Annals of Statistics
- 发表日期
- 2000-02-01
- 发表年份
- 2000
关键词
Statistical Methods and InferenceFinancial Risk and Volatility ModelingBayesian Methods and Mixture Models
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 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.