ptsuite: alpha_modified_percentile – R documentation

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alpha_modified_percentile

Estimating the Shape Parameter by Method of Modified Percentiles

Description

This function uses the Method of Modified Percentiles to estimate the shape parameter of a given set of data. (Bhatti et al. 2018)

Usage

alpha_modified_percentile(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

Bhatti SH, Hussain S, Ahmad T, Aslam M, Aftab M, Raza MA (2018). "Efficient estimation of Pareto model: Some modified percentile estimators." PLoS ONE, 13(5), 1-15.

Examples

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

ptsuite

Tail Index Estimation for Power Law Distributions

v1.0.0

GPL-3

Authors

Ranjiva Munasinghe [aut], Pathum Kossinna [cre, aut], Dovini Jayasinghe [aut], Dilanka Wijeratne [aut]

Initial release