alpha_moment {ptsuite} | R Documentation |
This function uses the Method of Moments to estimate the shape parameter
of a given set of data. (Rytgaard 1990) The method of moments is only
accurate if α (shape parameter
) is greater than or equal
to 1 (Brazauskas and Serfling 2000). This function issues a warning if it
detects that α may be less than 1.
alpha_moment(dat)
dat |
vector of observations |
A list of the following form:
Estimate of the shape parameter of the data
Estimate of the scale parameter of the data (which is taken to be the minimum of the data)
Rytgaard M (1990). "Estimation In The Pareto Distribution." ASTIN Bulletin: The Journal Of The IAA, 20(2), 201-216.
Brazauskas V, Serfling R (2000). "Robust and Efficient Estimation Of The Tail Index Of A Single-Parameter Pareto Distribution." North American Actuarial Journal, 4, 12-27.
x <- generate_pareto(10000, 5, 2) alpha_moment(x)