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Journal articles (1996), Stochastic Models, 12 (4), pp. 699-724

The Q-Q estimator and heavy tails

Kratz Marie , Resnick Sidney

A common visual technique for assessing goodness of fit and estimating location and scale is the qq--plot. We apply this technique to data from a Pareto distribution and more generally to data generated by a distribution with a heavy tail. A procedure for assessing the presence of heavy tails and for estimating the parameter of regular variation is discussed which can supplement other standard techniques such as the Hill plot. Some examples are given using telecommunications data.

KRATZ, M. and RESNICK, S. (1996). The Q-Q estimator and heavy tails. Stochastic Models, 12(4), pp. 699-724.

Keywords : #AMS-classification, #parameter-estimation, #weak-convergence, #consistency, #time-series-analysis, #qq, #plot, #heavy-tails, #regular-variation