ptsuite: alpha_wls – R documentation

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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

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