ptsuite: Fast Tail Index Estimation for Power Law Distributions in R

Abstract

Power law distributions, in particular Pareto distributions, describe data across diverse areas of study. We have developed a package, ptsuite, in R to estimate the tail index for such datasets which: a) uses a variety of estimation methods; b) focuses on speed (in particular with large datasets); c) is accurate and d) is easy to use. The package is also able to generate Pareto data as well as conduct both heuristic and statistical tests to check if data is Paretian. We tested ptsuite against similar R packages for speed of tail index estimation and found that our package is indeed faster. The tail index estimates produced by the package are accurate. The package is easy to use as all functions can be called with one line of code and a small number of argument references. To date the package has been downloaded over 12,500 times from the CRAN repository 4. Finally we remark that the authors have used the package in research applications - e.g. (Munasinghe et. al , 2019).