The qq-estimator and heavy tails

The qq-estimator and heavy tails

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Article ID: iaor20002542
Country: United States
Volume: 12
Issue: 4
Start Page Number: 699
End Page Number: 724
Publication Date: Nov 1996
Journal: Communications in Statistics - Stochastic Models
Authors: ,
Abstract:

A common visual technique for assessing goodness of fit and estimating location and scale is the qq-plot. We apply this technique to data from a Pareto distribution and more generally to data generated by a distribution with a heavy tail. A procedure for assessing the presence of heavy tails and for estimating the parameter of regular variation is discussed which can supplement other standard techniques such as the Hill plot. Some examples are given using telecommunications data.

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