How to make a Hill Plot
An abundance of high quality data sets requiring heavy tailed models necessitates reliable methods of estimating the shape parameter governing the degree of tail heaviness. The Hill estimator is a popular method for doing this but its practical use is encumbered by several difficulties. We show that an alternative method of plotting Hill estimator values is more revealing than the standard method unless the underlying data comes from a Pareto distribution.
|Tinbergen Institute Discussion Paper Series|
Drees, H, de Haan, L.F.M, & Resnick, S.I. (1998). How to make a Hill Plot (No. TI 98-090/4). Tinbergen Institute Discussion Paper Series. Retrieved from http://hdl.handle.net/1765/7748