2020/06/18 by Ranjiva Munasinghe, Munasinghe, Ranjiva, Pathum Kossinna +5
Computer Science · Economics, Econometrics and Finance · Mathematics · #62-04 #Data Analysis with R #FOS: Computer and information sciences #Financial Risk and Volatility Modeling #Methodology (stat.ME) #Statistical Methods and Bayesian Inference
paper · pdf · doi:10.48550/arxiv.2006.10308
openalex publication_date 2020/06/18 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
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.