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February 2000 How to make a Hill plot
Holger Drees, Sidney Resnick, Laurens de Haan
Ann. Statist. 28(1): 254-274 (February 2000). DOI: 10.1214/aos/1016120372


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.


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Holger Drees. Sidney Resnick. Laurens de Haan. "How to make a Hill plot." Ann. Statist. 28 (1) 254 - 274, February 2000.


Published: February 2000
First available in Project Euclid: 14 March 2002

zbMATH: 1106.62333
MathSciNet: MR1762911
Digital Object Identifier: 10.1214/aos/1016120372

Primary: 60G75
Secondary: 62G05 , 62G20

Keywords: estimation , extreme value index , heavy tails , Hill estimator , order statistics , Pareto tails , regular variation

Rights: Copyright © 2000 Institute of Mathematical Statistics


Vol.28 • No. 1 • February 2000
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