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1 UPMC - Université Pierre et Marie Curie - Paris 6 2 ESSEC Business School

Abstract : An estimator for the M-index of functions of M, a larger class than the class of regularly varying RV functions, is proposed. This index is the tail index of RV functions and this estimator is thus a new one on the class of RV functions. This estimator satisfies, assuming suitable conditions, strong consistency. Asymptotic normality of this estimator is proved for a large class of RV functions.

Keywords : extreme value theory weak consistency strong consistency regularly varying function estimator





Autor: Meitner Cadena -

Fuente: https://hal.archives-ouvertes.fr/



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