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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.
The text was updated successfully, but these errors were encountered:
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.
The text was updated successfully, but these errors were encountered: