Almost sure convergence of the Hill estimator
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Publication:3814549
DOI10.1017/S0305004100065531zbMath0664.62023MaRDI QIDQ3814549
Paul Deheuvels, Erich Haeusler, David M. Mason
Publication date: 1988
Published in: Mathematical Proceedings of the Cambridge Philosophical Society (Search for Journal in Brave)
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Cites Work
- Kernel estimates of the tail index of a distribution
- Strong laws for the k-th order statistic when k\(\leq c\,\log _ 2\,n\)
- A semigroup approach to Poisson approximation
- On asymptotic normality of Hill's estimator for the exponent of regular variation
- Estimating tails of probability distributions
- A law of the iterated logarithm for sums of extreme values from a distribution with a regularly varying upper tail
- A simple general approach to inference about the tail of a distribution
- Large deviations of tail estimators based on the Pareto approximation
- The law of the iterated logarithm for normalized empirical distribution function
- A Measure of Asymptotic Efficiency for Tests of a Hypothesis Based on the sum of Observations
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