An Algorithm for Fitting Heavy-Tailed Distributions via Generalized Hyperexponentials

In this paper, we propose an algorithm to fit heavy-tailed (HT) distribution functions by generalized hyperexponential (GH) distribution functions. A discussion of the steps, usage, and accuracy of the GH algorithm is given. Several examples in this paper show that the proposed method can be applied to fit HT distributions with a completely monotone probability density function (pdf) very well, like the Pareto distribution and the Weibull distribution with the shape parameter less than one, as well as HT distributions whose pdf is not completely monotone, like the lognormal distribution. In addition, we provide an example that shows that the proposed method can be applied to density estimation of real data presenting a heavy tail.