Template-Type: ReDIF-Paper 1.0
Series: Tinbergen Institute Discussion Papers
Creation-Date: 1998-08-27
Number: 98-090/4
Author-Name: Holger Drees
Author-Email: hdrees@mi.uni-koeln.de
Author-Workplace-Name: University of Cologne
Author-Name: Laurens F.M. de Haan
Author-Email: ldehaan@few.eur.nl
Author-Workplace-Name: Erasmus University Rotterdam
Author-Name: Sidney Resnick
Author-Email: sid@orie.cornell.edu
Author-Workplace-Name: Cornell University
Title: How to make a Hill Plot
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.
File-Url: https://papers.tinbergen.nl/98090.pdf
File-Format: application/pdf
File-Size: 464790 bytes
Handle: RePEc:tin:wpaper:19980090