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.
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.