HILLGEV: RATS procedure to estimate tail index for a distribution using Hill's method

Tom Doan ()

Statistical Software Components from Boston College Department of Economics

Abstract: Estimates the tail index for a distribution, using Hill's method. Hill(1975), "A Simple General Approach to Inference About the Tail of a Distribution," Annals of Statistics, vol 3, 1163-1174.

Language: RATS
Requires: RATS 6.00
Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
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https://www.estima.com/procs_perl/hillgev.src (text/plain)

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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:rts00087

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