Package: heavytails 0.2.0
Farid Rohan
heavytails: Estimators and Algorithms for Heavy-Tailed Distributions
Implements the estimators and algorithms described in Chapters 8 and 9 of the book "The Fundamentals of Heavy Tails: Properties, Emergence, and Estimation" by Nair et al. (2022, ISBN:9781009053730). These include the Hill estimator, Moments estimator, Pickands estimator, Peaks-over-Threshold (POT) method, Power-law fit, and the Double Bootstrap algorithm.
Authors:
heavytails_0.2.0.tar.gz
heavytails_0.2.0.zip(r-4.7)heavytails_0.2.0.zip(r-4.6)heavytails_0.2.0.zip(r-4.5)
heavytails_0.2.0.tgz(r-4.6-any)heavytails_0.2.0.tgz(r-4.5-any)
heavytails_0.2.0.tar.gz(r-4.7-any)heavytails_0.2.0.tar.gz(r-4.6-any)
heavytails_0.2.0.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
card.svg |card.png
heavytails/json (API)
NEWS
| # Install 'heavytails' in R: |
| install.packages('heavytails', repos = c('https://0diraf.r-universe.dev', 'https://cloud.r-project.org')) |
Bug tracker:https://github.com/0diraf/heavytails/issues
Last updated from:0531ed6c1f. Checks:9 OK. Indexed: yes.
| Target | Result | Time | Files | Syslog |
|---|---|---|---|---|
| linux-devel-x86_64 | OK | 113 | ||
| source / vignettes | OK | 131 | ||
| linux-release-x86_64 | OK | 115 | ||
| macos-release-arm64 | OK | 168 | ||
| macos-oldrel-arm64 | OK | 137 | ||
| windows-devel | OK | 71 | ||
| windows-release | OK | 66 | ||
| windows-oldrel | OK | 66 | ||
| wasm-release | OK | 82 |
Exports:doublebootstrapdparetohill_estimatorhill_plotks_gofks_xminlr_test_paretomle_paretomoments_estimatormoments_plotpareto_cdfpickands_estimatorpickands_plotplfitpot_estimatorqq_paretorank_plotrparetowls_pareto
Dependencies:
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| Double Bootstrap algorithm | doublebootstrap |
| Pareto Density | dpareto |
| Hill Estimator | hill_estimator |
| Hill Plot | hill_plot |
| Goodness-of-Fit Test for the Pareto Distribution | ks_gof |
| Estimate the Power-Law Lower Bound via KS Minimization | ks_xmin |
| Likelihood Ratio Test: Pareto vs. Alternative Distributions | lr_test_pareto |
| Parametric MLE for the Pareto Distribution | mle_pareto |
| Moments Estimator | moments_estimator |
| Moments Estimator Plot | moments_plot |
| Pareto CDF | pareto_cdf |
| Pickands Estimator | pickands_estimator |
| Pickands Estimator Plot | pickands_plot |
| Power-law fit (PLFIT) Algorithm | plfit |
| Peaks-over-threshold (POT) Estimator | pot_estimator |
| Pareto QQ Plot | qq_pareto |
| Rank Plot (Log-Log CCDF) | rank_plot |
| Generate Pareto Random Variates | rpareto |
| Weighted Least Squares Estimator for the Pareto Tail Index | wls_pareto |