heavytails

Estimators and Algorithms for Heavy-Tailed Distributions

v0.2.0 · Mar 27, 2026 · MIT + file LICENSE

Description

Implements the estimators and algorithms described in Chapters 8 and 9 of the book "The Fundamentals of Heavy Tails: Properties, Emergence, and Estimation" by Nair et al. (2022, ISBN:9781009053730). These include the Hill estimator, Moments estimator, Pickands estimator, Peaks-over-Threshold (POT) method, Power-law fit, and the Double Bootstrap algorithm.

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14 OK

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Flavor	Status	Time
r-devel-linux-x86_64-debian-clang	OK	38s
r-devel-linux-x86_64-debian-gcc	OK	28.8s
r-devel-linux-x86_64-fedora-clang	OK	54s
r-devel-linux-x86_64-fedora-gcc	OK	55.4s
r-devel-macos-arm64	OK	12s
r-devel-windows-x86_64	OK	61s
r-oldrel-macos-arm64	OK	16s
r-oldrel-macos-x86_64	OK	45s
r-oldrel-windows-x86_64	OK	71s
r-patched-linux-x86_64	OK	34s
r-release-linux-x86_64	OK	32.9s
r-release-macos-arm64	OK	12s
r-release-macos-x86_64	OK	33s
r-release-windows-x86_64	OK	62s

Check History

OK 14 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE Mar 10, 2026

Version History

updated 0.2.0 ← 0.1.1 diff Mar 27, 2026

new 0.1.1 Mar 10, 2026