Hill: Hill estimator of the tail index, with weights

In freakonometrics/TopIncome: Estimation of Top Incomes Using Pareto Models

Description

Hill estimator of the tail index, with weights

Usage

Hill(data, weights = rep(1, length(data)))

Arguments

data	the vector of observations
weights	the vector of weights (default is uniform weights)

Value

Hill estimator of xi (the tail index) and alpha, as well as k the number of observations

Note that weights do not need to sum up to 1 (function will convert them via weights/sum(weights))

Examples

set.seed(123)
x <- rpareto1(100, 1, 1.5)
w <- rgamma(100,10,10)
Hill(x,w)

freakonometrics/TopIncome documentation built on Oct. 16, 2021, 5:58 p.m.