JuliaEarth / ExtremeStats.jl

Extreme value statistics in Julia
MIT License
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Implement a heavy-tailed estimator #29

Open josemanuel22 opened 7 months ago

josemanuel22 commented 7 months ago

It would be good to have a function that implements a Hill estimator, for example. The Hill estimator is particularly useful in extreme value theory for analyzing the tail properties of a distribution. It focuses on the most extreme observations (the largest) in a sample to estimate the tail index, which informs about the heaviness of the tail.

juliohm commented 7 months ago

Feel free to submit a PR with the function. The plots provided here already give an indication of the extreme value index.