A maximum likelihood estimator based on geometric records estimates the tail index of Pareto-type distributions with proven consistency, asymptotic normality, and advantages over Hill's estimator in sequential or low-measurement contexts.
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Estimating the tail index of Pareto-type distributions from geometric records
A maximum likelihood estimator based on geometric records estimates the tail index of Pareto-type distributions with proven consistency, asymptotic normality, and advantages over Hill's estimator in sequential or low-measurement contexts.