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On the uniform consistency of the Hill estimator.
2008We 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 ...
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Consistency of the Hill Estimator for Time Series Observed with Measurement Errors
Journal of Time Series Analysis, 2020Piotr Kokoszka
exaly
Consistency of Hill estimators in a linear preferential attachment model
Extremes, 2018Sidney Resnick, Tiandong Wang
exaly
Estimation of high conditional quantiles using the Hill estimator of the tail index
Journal of Statistical Planning and Inference, 2016Tiejun Tong
exaly
Assessing confidence intervals for the tail index by Edgeworth expansions for the Hill estimator
Bernoulli, 2007Johan Segers
exaly
A new shift invariant Hill-type estimator for heavy tailed models
International Journal of Modelling, Identification and Control, 2012Xia Cai
exaly
Hill estimator of projections of functional data on principal components
Statistics, 2019Piotr Kokoszka
exaly

