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Almost sure convergence of the Hill estimator
Paul Deheuvels, Erich Haeusler, David M. Mason
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Source: Crossref
Published: Sep 1, 1988
DOI: 10.1017/s0305004100065531
Open original source ↗Source abstract
Abstract In this note we characterize those sequences k n such that the Hill estimator of the tail index based on the k n upper order statistics of a sample of size n from a Pareto-type distribution is strongly consistent.
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