2009/05/19 by Éva Rácz, János Kertész, Rácz, Éva +3
Economics, Econometrics and Finance · Environmental Science · Physics and Astronomy · #Climate variability and models #Complex Systems and Time Series Analysis #Data Analysis #FOS: Physical sciences #Financial Risk and Volatility Modeling #Statistics and Probability (physics.data-an) #physics.data-an
paper · pdf · doi:10.48550/arxiv.0905.3096
5 pages, 7 figures
arxiv created 2009/05/19 · openalex publication_date 2009/05/19 · arxiv updated 2009/12/01 · openalex created_date 2016/06/24 · openalex updated_date 2026/07/31
A wide range of natural and social phenomena result in observables whose distributions can be well approximated by a power-law decay. The well-known Hill estimator of the tail exponent provides results which are in many respects superior to other estimators in case the asymptotics of the distribution is indeed a pure power-law, however,systematic errors occur if the distribution is altered by simply shifting it. We demonstrate some related problems which typically emerge when dealing with empirical data and suggest a procedure designed to extend the applicability of the Hill estimator.