Description Usage Arguments Details Value References Examples
An implementation of the so called sum plot proposed in de Sousa & Michailidis (2004)
1 |
data |
vector of sample data |
kmin |
gives the minimal |
The sum plot is based on the plot (k,S_k)
with S_k:=k*gamma_k
where gamma_k
denotes the Hill estimator. So the sum plot and the Hill plot are statistically equivalent. The sum plot should be approximately linear for the k
-values where gamma_k=gamma
. So the linear part of the graph can be used as an estimator of the (inverse) tail index. The sum plot leads to the estimation of the slope while the classical Hill plot leads to estimation of the intercept. The optimal number of order statistics, also known as the threshold, can then be derived as the value k
where the plot differs from a straight line with slope gamma
. See references for more information.
The plot shows the values of S_k=k*gamma_k
for different k
. See references for more information.
De Sousa, Bruno and Michailidis, George (2004). A diagnostic plot for estimating the tail index of a distribution. Journal of Computational and Graphical Statistics 13(4), 1–22.
1 2 |
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.