Tail Index Estimation for Discrete Heavy-Tailed Distributions

Patrice Bertail, Stephan Clémençon, Carlos Fernández

It is the purpose of this paper to investigate the issue of estimating the regularity index ${\hat{I}}^2>0$ of a discrete heavy-tailed r.v. $S$, \textit{i.e.} a r.v. $S$ valued in $\mathbb{…