How to make a Hill Plot

Holger Drees (), Laurens F.M. de Haan () and Sidney Resnick ()
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Holger Drees: University of Cologne
Laurens F.M. de Haan: Erasmus University Rotterdam
Sidney Resnick: Cornell University

No 98-090/4, Tinbergen Institute Discussion Papers from Tinbergen Institute

Abstract: 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.

Date: 1998-08-27
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