SHIFTED HILL'S ESTIMATOR FOR HEAVY TAILS

Abstract

Hill's estimator is a popular method for estimating the thickness of heavy tails. In this paper we modify Hill's estimator to make it shift-invariant as well as scale-invariant. The resulting shifted Hill's estimator is a more robust method of estimating tail thickness.

^†Partially supported by NSF-EAR grant 9980484.

Keywords:

• Maximum likelihood estimation
• Heavy tails
• Order statistics

Acknowledgments

Notes

^†Partially supported by NSF-EAR grant 9980484.