Tail Index Estimation, Pareto Quantile Plots Regression Diagnostics
尾指数估计、帕累托分位数图与回归诊断
Successful application of extreme value statistics for estimating the Pareto tail index relies heavily on the choice of the number of extreme values taken into account. It is shown that these tail index estimators can be considered estimates of the slope at the right upper tail of a Pareto quantile plot, obtained using a weighted least squares algorithm. From this viewpoint, based on classical ideas on regression diagnostics, algorithms can be constructed searching for that…