Articles | Volume 24, issue 4
Research article
06 Dec 2017
Research article |  | 06 Dec 2017

Optimal heavy tail estimation – Part 1: Order selection

Manfred Mudelsee and Miguel A. Bermejo

Model code and software

User manual Fortran 90

Short summary
Risk analysis of extremes has high socioeconomic relevance. Of crucial interest is the tail probability, P, of the distribution of a variable, which is the chance of observing a value equal to or greater than a certain threshold value, x. Many variables in geophysical systems (e.g. climate) show heavy tail behaviour, where P may be rather large. In particular, P decreases with x as a power law that is described by a parameter, α. We present an improved method to estimate α on data.