alpha_ls: Estimating the Shape Parameter by Method of Least Squares

In ptsuite: Tail Index Estimation for Power Law Distributions

Description

This function uses the Method of Least Squares to estimate the shape parameter of a given set of data. (Zaher et al. 2014; Nair et al. 2019)

Usage

alpha_ls(dat)

Arguments

dat	vector of observations

Value

A list of the following form:

shape

Estimate of the shape parameter of the data

scale

Estimate of the scale parameter of the data (which is taken to be the minimum of the data)

References

Zaher HM, El-Sheik AA, El-Magd NATA (2014). "Estimation of Pareto Parameters Using a Fuzzy Least-Squares Method and Other Known Techniques with a Comparison." British Journal of Mathematics & Computer Science, 4(14), 2067-2088.

Nair J, Wierman A, Zwart B (2019). "The Fundamentals Of Heavy Tails: Properties, Emergence, And Identification." http://users.cms.caltech.edu/ adamw/heavytails.html.

Examples

x <- generate_pareto(10000, 5, 2)
alpha_ls(x)

ptsuite documentation built on May 1, 2019, 10:51 p.m.