Description Usage Arguments Details Value Examples
Maximum likelihood estimation of the Pareto shape parameter using the Hill estimator.
1 | pareto.mle(x, xmin = NULL, clauset = FALSE, q = 0, lower = 1e-10, upper = Inf)
|
x |
data vector |
xmin |
scale parameter of the Pareto distribution, set to min(x) if not provided |
clauset |
Indicator variable for calculating the scale parameter using the clauset method, overrides provided xmin |
q |
Percentage of data to search over (starting from the largest values), defaults to 0. |
lower, upper |
Lower and upper bounds to the estimated shape parameter, defaults to 1e-10 and Inf respectively |
The Hill estimator equals
\hat{k} = \frac{1}{ \frac{1}{n} ∑_{i=1}^{n} log \frac{x_i}{x_{min}}}
Returns a named list containing a
Named vector of coefficients
logical indicator of convergence
Length of the fitted data vector
Nr. of coefficients
1 2 3 4 5 6 7 8 9 10 | x <- rpareto(1e3, k = 2, xmin = 2)
## Pareto fit with xmin set to the minium of the sample
pareto.mle(x = x)
## Pareto fit with xmin set to its real value
pareto.mle(x = x, xmin = 2)
## Pareto fit with xmin determined by the Clauset method
pareto.mle(x = x, clauset = TRUE)
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