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20112026
most citedTail empirical process and weighted extreme value index estimator for randomly right-censored data

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stat.ME2012

A Bias-reduced Estimator for the Mean of a Heavy-tailed Distribution with an Infinite Second Moment

Brahim Brahimi, Djamel Meraghni, Abdelhakim Necir +1

We use bias-reduced estimators of high quantiles, of heavy-tailed distributions, to introduce a new estimator of the mean in the case of infinite second moment. The asymptotic norm…