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hl
2005 Sep 07
1
fitting distribution tails
Hello,
I want to fit a distribution to a dataset. Important is not the "overall"
fitting 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