Almost sure convergence of the Hill estimator-Reference-Cited by-同舟云学术

Almost sure convergence of the Hill estimator

Published:1988-09 Issue:2 Volume:104 Page:371-381
ISSN:0305-0041
Container-title:Mathematical Proceedings of the Cambridge Philosophical Society
language:en
Short-container-title:Math. Proc. Camb. Phil. Soc.

Author:

Deheuvels Paul,Haeusler Erich,Mason David M.

Abstract

AbstractIn 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.

Publisher

Cambridge University Press (CUP)

Subject

General Mathematics

Reference21 articles.

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5. On some simple estimates of an exponent of regular variation;Hall;J. Roy. Statist. Soc. Ser. B,1982

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