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- W2964001076 abstract "We consider the problem of estimating the tail index of a distribution satisfying a (; ) second-order Pareto-type condition, where is the second-order coecient. When is available, it was previously proved that can be estimated with the optimal rate n 2 +1 . On the contrary, when is not available, estimating with the optimal rate is challenging; so additional assumptions that imply the estimability of are usually made. In this paper, we propose an adaptive estimator of , and show that this estimator attains the rate n= log logn 2 +1 without a priori knowledge of and any additional assumptions. Moreover, we prove that this log logn 2 +1 factor is unavoidable by obtaining" @default.
- W2964001076 created "2019-07-30" @default.
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- W2964001076 date "2015-01-01" @default.
- W2964001076 modified "2023-09-23" @default.
- W2964001076 title "Adaptive and minimax optimal estimation of the tail coefficient" @default.
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- W2964001076 doi "https://doi.org/10.5705/ss.2013.272" @default.
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