Fast Tail Index Estimation for Power Law Distributions in R
Ranjiva Munasinghe, Pathum Kossinna, Dovini Jayasinghe, Dilanka Wijeratne · arXiv (Cornell University) · 2020
Power law distributions, in particular Pareto distributions, describe data across diverse areas of study. We have developed a package in R to estimate the tail index for such datasets focusing on speed (in particular with large datasets), keeping in mind ease of use, as well as accuracy. In this document, we provide a user guide to our package along with the results obtained highlighting the speed advantages of our package.