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On the uniform consistency of the Hill estimator.

2008
We start by considering a kernel estimator g_{n,h}(t) for the regression function m_g(t):=E[g(Y)|X=t], where t is fixed and g:R->R is a measurable function with finite second moment. If h=h_n is a deterministic sequence such that h_n->0 and nh_n^d/log log n->\infty, it is well-known that g_{n,h_n}(t) estimates consistently m_g(t)f_X(t), where f_X is ...
openaire   +1 more source

Estimation of high conditional quantiles using the Hill estimator of the tail index

Journal of Statistical Planning and Inference, 2016
Tiejun Tong
exaly  

A new shift invariant Hill-type estimator for heavy tailed models

International Journal of Modelling, Identification and Control, 2012
Xia Cai
exaly  

Multivariate Hill Estimators

International Statistical Review, 2017
Pauliina Ilmonen   +2 more
exaly  

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