Hill: Hill estimator of the tail index, with weights

In freakonometrics/TopIncomes: 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

numeric,	data the vector of observations
numeric	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))

References

Charpentier & Flachaire (2019) Pareto Models for Top Incomes hal-02145024

Examples

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

freakonometrics/TopIncomes documentation built on July 7, 2019, 8:06 a.m.