How to make a Hill plot.

DOI10.1214/aos/1016120372zbMath1106.62333OpenAlexW1999814784WikidataQ102129700 ScholiaQ102129700MaRDI QIDQ1848777

Holger Drees, Sidney I. Resnick, Laurens De Haan

Publication date: 14 November 2002

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.aos/1016120372

zbMATH Keywords

order statistics regular variation heavy tails Estimation Hill estimator extreme value index Pareto tails

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Order statistics; empirical distribution functions (62G30) Statistics of extreme values; tail inference (62G32)

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