New test revolutionizes tail index estimation for heavy-tailed distributions.
A new method for testing if data follows a Pareto distribution has been developed. By using distances between data points, the test can be customized for different types of Pareto distributions. The test is reliable and works well for heavy-tailed data. It can also be used to estimate the tail index of a distribution. The method was successfully applied to real-world data sets and outperformed traditional tests.