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Conjecture on the proper scaling of tail-index estimators
Proper-scaling conjecture. The proper scaling is $a_n=\sqrt{n\overline{F}(u_n)}$ , and this scaling yields the same limit as in the second regime, namely
Conjectureopenextreme-value-theory long-memory-time-series tail-index-estimationarXiv posted 2 days ago

Conjecture on the proper scaling of tail-index estimators