Strong Convergence Bound of the Pareto Index Estimator under Right Censoring
Bao Tao, Zuoxiang Peng
Journal of Inequalities and Applications · 2010
doi:10.1155/2010/209156 (opens in a new tab)
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Abstract
Let {Xn,n≥1} be a sequence of positive independent and identically distributed random variables with common Pareto-type distribution function F(x)=1−x−1/γlF(x) as γ>0, where lF(x) represents a slowly varying function at infinity. In this note we study the strong convergence bound of a kind of right censored Pareto index estimator under second-order regularly varying conditions.
Abstract licence: CC BY-NC-ND
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