Dipping a Toe in the Statistical Water
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This material is designed to give immediate payoff for the previous two chapters. We give some estimators of the tail index, prove consistency, and evaluate the effectiveness of the estimation. We will return to statistical inference problems on several occasions, and the present chapter is a first experience with the statistical side of the subject. In particular, we will return to issues of asymptotic normality of the estimators in Chapter 9.1.
KeywordsOrder Statistic Asymptotic Normality Relative Loss Tail Index Alternative Estimator
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