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A note on the excesses over a high threshold
2002
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In this note we are interested in the derivation of the asymptotic distributional properties of the maximum likelihood estimator of a positive tail index γ, on the basis of the excesses over a high random threshold.
doi:10.13140/rg.2.2.29568.58887
fatcat:wp74d4h7vvbyjppqsmrcfucdta