Tail Index Estimation for Power Law Distributions

Various estimation methods for the shape parameter of Pareto distributed data. This package contains functions for various estimation methods such as maximum likelihood (Newman, 2005), Hill's estimator (Hill, 1975), least squares (Zaher et al., 2014), method of moments (Rytgaard, 1990), percentiles (Bhatti et al., 2018), and weighted least squares (Nair et al., 2019) to estimate the shape parameter of Pareto distributed data. It also provides both a heuristic method (Hubert et al., 2013) and a goodness of fit test (Gulati and Shapiro, 2008) for testing for Pareto data as well as a method for generating Pareto distributed data.


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install.packages("ptsuite")

1.0.0 by Pathum Kossinna, 4 months ago


Browse source code at https://github.com/cran/ptsuite


Authors: Ranjiva Munasinghe [aut] , Pathum Kossinna [cre, aut] , Dovini Jayasinghe [aut] , Dilanka Wijeratne [aut]


Documentation:   PDF Manual  


Task views: Extreme Value Analysis


GPL-3 license


Imports Rcpp

Suggests plotly

Linking to Rcpp


See at CRAN