How to make a Hill plot

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How to Make a Hill Plot

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 diiculties. We show that an alternative method of plotting Hill estimator values is more revealing than the standard method...

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ژورنال

عنوان ژورنال: The Annals of Statistics

سال: 2000

ISSN: 0090-5364

DOI: 10.1214/aos/1016120372