Far East Journal of Theoretical Statistics
Volume 20, Issue 2, Pages 129 - 149
(November 2006)
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GENERALIZED HILL’S ESTIMATOR
Aliou Diop (Sénégal) and Gane Samb Lo (Sénégal)
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Abstract: We introduce a statistical process depending on a continuous
time parameter t whose any margin can arise as a
Generalized Hill’s estimator. Under specific conditions, the strong
consistency of this estimator is studied. Its asymptotic variance is given with
respect to the value of t . In some situations, the
Generalized Hill’s estimator (with
performs better than the Hill’s estimator. |
Keywords and phrases: heavy tails, regular variation, extreme value theory, Hill’s
estimator, estimation, consistency, order statistics. |
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