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On unbiased estimation of the tail Pareto index based on k-record values

Mohamed El ARROUCHI, Abdelouahid IMLAHI

Abstract


In this paper, and in a context of regularly varying tails, we propose an unbiased estimator for the tail Pareto index of a distribution based on kn-record values observed in a sample (X1; :::;Xn) and show its asymptotic properties. Some simulations are also provided to validate the theoretical results.

Keywords


Extreme values; kn-record values; Tail Pareto index; Unbiased estimator

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