Nonlinear Processes in Geophysics
Nonlinear Processes in Geophysics
NPG
Articles | Volume 24, issue 4
Articles | Volume 24, issue 4
https://doi.org/10.5194/npg-24-737-2017
© Author(s) 2017. This work is distributed under
the Creative Commons Attribution 4.0 License.
https://doi.org/10.5194/npg-24-737-2017
© Author(s) 2017. This work is distributed under
the Creative Commons Attribution 4.0 License.
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

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Latest update: 29 Jun 2024
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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.
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