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A class of asymptotically unbiased semi-parametric estimators of the tail index

โœ Scribed by Frederico Caeiro; M. Ivette Gomes


Book ID
110575626
Publisher
CrossRef test prefix
Year
2002
Tongue
English
Weight
920 KB
Volume
11
Category
Article
ISSN
1234-5678

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Bias reduction and explicit semi-paramet
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In this paper, and in a context of regularly varying tails, we analyse particular but interesting cases of the maximum likelihood and least squares estimators proposed by Feuerverger and Hall (Ann. Statist. 27 (1999) 760). All these estimators are alternatives to a well-known estimator of the tail i