ptsuite (version 1.0.0)

alpha_wls: Estimating the Shape Parameter by Weighted Least Squares Method (WLS)

Description

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

Usage

alpha_wls(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

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

# NOT RUN {
x <- generate_pareto(10000, 5, 2)
alpha_percentile(x)

# }