Given min and max values, how can I estimate shape parameter (tail index) of data generated by truncated pareto distribution ? I see a package tpareto but find no information on how to estimate tail index from given data.
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Best Answer
Using VGAM truncated Pareto functions with fitdistrplus, the following should work:
lower <- min(data) upper <- max(data) fit <- fitdist(data, 'truncpareto', start=list(lower=lower, upper=upper, shape=1)) This applies the Pareto bounds first to estimate the shape parameter before plugging it into the truncated Pareto MLE function. However, truncpareto has been giving me issues, so I cannot verify it yet.
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