Gomes, M. Ivette; Haan, Laurens de; Rodrigues, Lígia … - In: Journal of the Royal Statistical Society Series B 70 (2008) 1, pp. 31-52
We are interested in the derivation of the distributional properties of a weighted log-excesses estimator of a positive tail index "&ggr;". One of the main objectives of such an estimator is the accommodation of the dominant component of asymptotic bias, together with the maintenance of the...