Pickands Estimator

class tailestim.estimators.pickands.PickandsEstimator(**kwargs)

Bases: BaseTailEstimator

Pickands estimator for tail index estimation.

This class implements the Pickands estimator, which is a simple method that does not use bootstrap procedures. Note that estimates can only be calculated up to the floor(n/4)-th order statistic.

Parameters:

**kwargsdict

Additional parameters (not used by this estimator).

__init__(**kwargs)

get_params()

Get the parameters of the estimator.

Returns:

dict

Dictionary containing the parameters of the estimator.

get_result()

Get the estimated parameters.

Attributes:

estimatorBaseTailEstimator

The estimator instance (e.g., HillEstimator, PickandsEstimator, etc.) used for estimation.

k_arr_np.ndarray

Array of order statistics.

xi_arr_np.ndarray

Array of tail index estimates.

Returns:

TailEstimatorResult

Examples

from tailestim import TailData
from tailestim import HillEstimator

data = TailData(name='Pareto').data

# Initialize and fit Pickands estimator
pickands = PickandsEstimator()
pickands.fit(data)

# Get estimated values
res = pickands.get_result()