Best Attainable Rates of Convergence for Estimates of Parameters of Regular Variation
Open Access
- 1 September 1984
- journal article
- Published by Institute of Mathematical Statistics in The Annals of Statistics
- Vol. 12 (3) , 1079-1084
- https://doi.org/10.1214/aos/1176346723
Abstract
We derive lower bounds to rates of convergence for estimators of shape and scale parameters in distributions with regularly varying tails. We exhibit simple estimators which attain these rates.Keywords
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