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farber
2005 Sep 07
1
fitting distribution tails
...ng but the fitting in the tail (e.g. all observations > x or the n
highest values). Standard ML-estimation sometimes doesn't work here very
well. We see that especially when we have truncated datasets the algorithms
won't converge. In the case of lognormal distribution: It seems that the
farer the truncation point is away from the peak of the whole distribution
the more unlikely is the convergence.
So I think to do the following. And my questions are: Before I try to do it
with basic R-knowledge on my own ... maybe there is a similar solution
already available in R. And: maybe somebod...