A new adaptive rule selects the number k of extreme observations for the Hill estimator with finite-sample guarantees under only regular variation, and near-minimax rates under von Mises conditions.
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Adaptive tail index estimation: minimal assumptions and non-asymptotic guarantees
A new adaptive rule selects the number k of extreme observations for the Hill estimator with finite-sample guarantees under only regular variation, and near-minimax rates under von Mises conditions.