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Almost sure convergence of the Hill estimator

  • Paul Deheuvels (a1), Erich Haeusler (a2) and David M. Mason (a3)
Abstract
Abstract

In this note we characterize those sequences kn such that the Hill estimator of the tail index based on the kn upper order statistics of a sample of size n from a Pareto-type distribution is strongly consistent.

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Mathematical Proceedings of the Cambridge Philosophical Society
  • ISSN: 0305-0041
  • EISSN: 1469-8064
  • URL: /core/journals/mathematical-proceedings-of-the-cambridge-philosophical-society
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