STAT244.Lecture.02 6

STAT244.Lecture.02 6 - T . Plot H K , T against K ;...

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Testing for Heavy-Tails I Use Kurtosis test I Hill estimator for Power-Law distribution: H K , T = ( 1 K K X i =1 (log r ( i ) - log r ( i +1) ) ) - 1 , 1 K
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Unformatted text preview: T . Plot H K , T against K ; Power-Law coef is inferred from the stable region....
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